Related papers: Interest rate models and Whittaker functions
We present an overview of the broad class of financial models in which the prices of assets are L\'evy-Ito processes driven by an $n$-dimensional Brownian motion and an independent Poisson random measure. The Poisson random measure is…
We review some recent results on connections between Brownian motion, Whittaker functions, random matrices and representation theory.
This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with…
In this paper we develop a general approach to dimer models analogous to Krichever's scheme in the theory of integrable systems. We start with a Riemann surface and the simplest generic meromorphic functions on it and demonstrate how to…
Computational efficiency is essential for enhancing the accuracy and practicality of pricing complex financial derivatives. In this paper, we discuss Isogeometric Analysis (IGA) for valuing financial derivatives, modeled by two nonlinear…
Optimal dividend strategy in dual risk model is well studied in the literatures. But to the best of our knowledge, all the previous works assumes deterministic interest rate. In this paper, we study the optimal dividends strategy in dual…
An innovative extension of Geometric Brownian Motion model is developed by incorporating a weighting factor and a stochastic function modelled as a mixture of power and trigonometric functions. Simulations based on this Modified Brownian…
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary…
We propose a Wigner quasiprobability distribution function for Hamiltonian systems in spaces of constant curvature --in this paper on hyperboloids--, which returns the correct marginals and has the covariance of the Shapiro functions under…
In this paper a real option approach for the valuation of real assets is presented. Two continuous time models used for valuation are described: geometric Brownian motion model and interest rate model. The valuation for electricity spread…
Fractional Brownian motion with the Hurst parameter $H<\frac{1}{2}$ is used widely, for instance, to describe a 'rough' stochastic volatility process in finance. In this paper, we examine an Ait-Sahalia-type interest rate model driven by a…
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…
Tight-binding models for ultracold atoms in optical lattices can be properly defined by using the concept of maximally localized Wannier functions for composite bands. The basic principles of this approach are reviewed here, along with…
The electronic structure of solids can routinely be calculated by standard methods like density functional theory. However, in complicated situations like interfaces, grain boundaries or contact geometries one needs to resort to more…
The well-known theorem of Dybvig, Ingersoll and Ross shows that the long zero-coupon rate can never fall. This result, which, although undoubtedly correct, has been regarded by many as surprising, stems from the implicit assumption that the…
The analytical tractability of affine (short rate) models, such as the Vasicek and the Cox-Ingersoll-Ross models, has made them a popular choice for modelling the dynamics of interest rates. However, in order to account properly for the…
In the setting of stochastic Volterra equations, and in particular rough volatility models, we show that conditional expectations are the unique classical solutions to path-dependent PDEs. The latter arise from the functional It\^o formula…
By adopting the polynomial interpolation method, we propose an approach to hedge against the interest-rate risk of the default-free bonds by measuring the nonparallel movement of the yield-curve, such as the translation, the rotation and…
We consider a financial market in which the short rate is modeled by a continuous time Markov chain (CTMC) with a finite state space. In this setting, we show how to price any financial derivative whose payoff is a function of the state of…
We present an arbitrage-free non-parametric yield curve prediction model which takes the full (discretized) yield curve as state variable. We believe that absence of arbitrage is an important model feature in case of highly correlated data,…