Related papers: Interest rate models and Whittaker functions
In this paper, we consider the Cox--Ingersoll--Ross (CIR) process in the regime where the process does not hit zero. We construct additive and multiplicative discrete approximation schemes for the price of asset that is modeled by the CIR…
In this paper, we establish a market model for the term structure of forward inflation rates based on the risk-neutral dynamics of nominal and real zero-coupon bonds. Under the market model, we can price inflation caplets as well as…
We calibrate and test various variants of field theory models of the interest rate with data from eurodollars futures. A model based on a simple psychological factor are seen to provide the best fit to the market. We make a model…
We present a thorough empirical study on real interest rates by also including risk aversion through the introduction of the market price of risk. With the view of complex systems science and its multidisciplinary approach, we use the…
In the framework of $F(\mathcal{R},\tilde{\mathcal{R}})$ Einstein-Cartan gravity with an action depending both of the Ricci scalar and the so-called Holst-invariant curvature we consider models that include cubic terms of the latter in the…
We explore in detail the dynamics of multi-field inflationary models. We first revisit the two-field case and rederive the coordinate independent expression for the attractor solution with either small or large turn rate, emphasizing the…
A method based on orthogonal function series interpolation of the square root probability density to analyze higher dimensional scattered data is presented. The method is targeted for the use-case when the model and/or data are available…
In this paper, a finite-state mean-reverting model for the short-rate, based on the continuous time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be derived in the general and the special…
Flexible boundary condition methods couple an isolated defect to bulk through the bulk lattice Green's function. The inversion of the force-constant matrix for the lattice Green's function requires Fourier techniques to project out the…
The main result of this paper that a martingale evolution can be chosen for Libor such that all the Libor interest rates have a common market measure; the drift is fixed such that each Libor has the martingale property. Libor is described…
In this paper, the rate-distortion theory of the Gray-Wyner lossy source coding system is investigated. For the case of jointly Gaussian distributed sources, we establish an expression for the rate-distortion function under the constraint…
There are two approaches to computing the one-point functions for sine-Gordon model in infinite volume. One is a bootstrap type procedure based on the reflection relations. Another uses the fermionic basis which was originally found for the…
This paper introduces a short rate model in continuous time that adds one or more memory (delay) components to the Merton model (Merton 1970, 1973) or the Vasi\v{c}ek model (Vasi\v{c}ek 1977) for the short rate. The distribution of the…
We introduce a Vasicek-type short rate model which has two additional parameters representing memory effect. This model presents better results in yield curve fitting than the classical Vasicek model. We derive closed-form expressions for…
We give a simple algorithm to incorporate the effects of resets in convertible bond prices, without having to add an extra factor to take into account the value of the reset. Furthermore we show that the effect of a notice period, and…
Discount is the difference between the face value of a bond and its present value. I propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath--Jarrow--Morton framework for forward rates. I…
We derive exact and closed-form expressions for a large class of two-point and three-point inflation correlators with the tree-level exchange of a single massive particle. The intermediate massive particle is allowed to have arbitrary mass,…
We consider an individual or household endowed with an initial capital and an income, modeled as a deterministic process with a continuous drift rate. At first, we model the discounting rate as the price of a zero-coupon bond at zero under…
We construct a binomial tree model fitting all moments to the approximated geometric Brownian motion. Our construction generalizes the classical Cox-Ross-Rubinstein, the Jarrow-Rudd, and the Tian binomial tree models. The new binomial model…
We analyze the classical model of compound interest with a constant per-period payment and interest rate. We examine the outstanding balance function as well as the periodic payment function and show that the outstanding balance function is…