Related papers: Affine LIBOR models with multiple curves: theory, …
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate…
We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of semimartingale characteristics. This turns out to be very…
This paper provides a discrete time LIBOR analog, which can be used for arbitrage-free discretization of Levy LIBOR models or discrete approximation of continuous time LIBOR market models. Using the work of Eberlein and Oezkan as an…
In this paper we study the pricing and hedging problem of a portfolio of life insurance products under the benchmark approach, where the reference market is modelled as driven by a state variable following a polynomial diffusion on a…
A quantitative model is presented linking the rate of inflation and unemployment to the change in the level of labor force. The link between the involved variables is a linear one with all coefficients of individual and generalized models…
The general problem of asset pricing when the discount rate differs from the rate at which an asset's cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each…
We introduce a new framework for optimal routing and arbitrage in AMM driven markets. This framework improves on the original best-practice convex optimization by restricting the search to the boundary of the optimal space. We can…
The non-parametric version of Amari's dually affine Information Geometry provides a practical calculus to perform computations of interest in statistical machine learning. The method uses the notion of a statistical bundle, a mathematical…
An inventory of all possible homogenous Hilbert curves in two dimensions are reported. Six new Hilbert curves are described by introducing the reversion operation in the construction algorithm. For each curve, the set of affine…
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…
This paper develops a rigorous mathematical framework for analyzing Concentrated Liquidity Market Makers (CLMMs) in Decentralized Finance (DeFi) within a continuous-time setting. We model the evolution of liquidity profiles as…
A consistent set of six integrable discrete and continuous dynamical systems are suggested corresponding to arbitrary affine Lie algebra. The set contains a system of partial differential equations which can be treated as a version of…
We examine two questions regarding Fourier frequencies for a class of iterated function systems (IFS). These are iteration limits arising from a fixed finite families of affine and contractive mappings in $\br^d$, and the ``IFS'' refers to…
Automated Market Makers (AMMs) are essential in Decentralized Finance (DeFi) as they match liquidity supply with demand. They function through liquidity providers (LPs) who deposit assets into liquidity pools. However, the asset trading…
Rapid development in numerical modelling of materials and the complexity of new models increases quickly together with their computational demands. Despite the growing performance of modern computers and clusters, calibration of such models…
We present a general derivation of the arbitrage-free pricing framework for multiple-currency collateralized products. We include the impact on option pricing of the policy adopted to fund in foreign currency, so that we are able to price…
We introduce a harmonic analysis for a class of affine iteration models in $\br^d$. Using Hilbert-space geometry, we develop a new duality notion for affine and contractive iterated function systems (IFSs) and we construct some identities…
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit bond and equity option pricing formulas that can be…
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than…
The increasing need for rapid recalibration of option pricing models in dynamic markets places stringent computational demands on data generation and valuation algorithms. In this work, we propose a hybrid algorithmic framework that…