Related papers: On the range of admissible term-structures

We study the Hull-White model for the term structure of interest rates in the presence of volatility uncertainty. The uncertainty about the volatility is represented by a set of beliefs, which naturally leads to a sublinear expectation and…

Inference in expressive probabilistic models is generally intractable, which makes them difficult to learn and limits their applicability. Sum-product networks are a class of deep models where, surprisingly, inference remains tractable even…

We consider an HJM model setting for Markov-chain modulated forward rates. The underlying Markov chain is assumed to induce regime switches on the forward curve dynamics. Our primary focus is on the interest rate and energy futures markets.…

When quantitative models are used to support decision-making on complex and important topics, understanding a model's ``reasoning'' can increase trust in its predictions, expose hidden biases, or reduce vulnerability to adversarial attacks.…

A new yield/damage function is proposed for modelling the inelastic behaviour of a broad class of pressure-sensitive, frictional, ductile and brittle-cohesive materials. The yield function allows the possibility of describing a transition…

When the inverse of an algorithm is well-defined -- that is, when its output can be deterministically transformed into the input producing it -- we say that the algorithm is invertible. While one can describe an invertible algorithm using a…

We develop a modelling framework for multiple yield curves driven by continuous-state branching processes with immigration (CBI processes). Exploiting the self-exciting behavior of CBI jump processes, this approach can reproduce the…

In fixed income sector, the yield curve is probably the most observed indicator by the market for trading and fifinancing purposes. A yield curve plots interest rates across different contract maturities from short end to as long as 30…

Productivity is the property that finite prefixes of an infinite constructor term can be computed using a given term rewrite system. Hitherto, productivity has only been considered for orthogonal systems, where non-determinism is not…

This article describes and explores taxes and debt in finance. Here a situation is thought about, where tax payments would qualify to be considered as debt. Using this principle we can infer that it is possible to create and price a type of…

The recent "correlation breakdown" in the modeling of credit default swaps, in which model correlations had to exceed 100% in order to reproduce market prices of supersenior tranches, is analyzed and argued to be a fundamental market…

A credit rating of AAA asserts near-certainty of repayment. This paper asks whether the pre-crisis information environment could have supported that assertion for structured products. Bayes' theorem implies that any reliability target…

In variable selection, a selection rule that prescribes the permissible sets of selected variables (called a "selection dictionary") is desirable due to the inherent structural constraints among the candidate variables. Such selection rules…

We consider the class of affine LIBOR models with multiple curves, which is an analytically tractable class of discrete tenor models that easily accommodates positive or negative interest rates and positive spreads. By introducing an…

In this paper, we study term structure movements in the spirit of Heath, Jarrow, and Morton [Econometrica 60(1), 77-105] under volatility uncertainty. We model the instantaneous forward rate as a diffusion process driven by a G-Brownian…

We propose an alternative approach on the existence of affine realizations for HJM interest rate models. It is applicable to a wide class of models, and simultaneously it is conceptually rather comprehensible. We also supplement some known…

Border's theorem gives an intuitive linear characterization of the feasible interim allocation rules of a Bayesian single-item environment, and it has several applications in economic and algorithmic mechanism design. All known…

In the present paper we fill an essential gap in the Convertible Bonds pricing world by deriving a Binary Tree based model for valuation subject to credit risk. This model belongs to the framework known as Equity to Credit Risk. We show…

We consider nonparametric estimation of mean regression and conditional variance (or volatility) functions in nonlinear stochastic regression models. Simultaneous confidence bands are constructed and the coverage probabilities are shown to…

We present assume-guarantee contracts for continuous-time linear dynamical systems with inputs and outputs. These contracts are used to express specifications on the dynamic behaviour of a system. Contrary to existing approaches, we use…