Related papers: Interest rate models and Whittaker functions
In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbitrage free under proportional transaction costs in the same…
This study delves into the temporal dynamics within the equity market through the lens of bond traders. Recognizing that the riskless interest rate fluctuates over time, we leverage the Black-Derman-Toy model to trace its temporal…
A fully self-consistent calculation of the bosonic dynamics of the Hubbard model is developed within the Composite Operator Method. From one side we consider a basic set of fermionic composite operators (Hubbard fields) and calculate the…
A fully self-consistent calculation of the bosonic dynamics of the Hubbard model is developed within the Composite Operator Method. From one side we consider a basic set of fermionic composite operators (Hubbard fields) and calculate the…
It is shown on the examples of Moore and Gosper curves that two spatially shifted or twisted, pre-asymptotic space-filling curves can produce large-scale superstructures akin to moir\'e patterns. To study physical phenomena emerging from…
We extend the notion of generalized Whittaker models by allowing them to be built upon smooth irreducible representations of unipotent subgroups of a $p$-adic reductive group that are not necessarily characters, nor induced from Weil…
In this paper we provide an extensive classification of one and two dimensional diffusion processes which admit an exact solution to the Kolmogorov (and hence Black-Scholes) equation (in terms of hypergeometric functions). By identifying…
We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changing the choice of the state space. We provide…
In this paper we revisit the integral functional of geometric Brownian motion $I_t= \int_0^t e^{-(\mu s +\sigma W_s)}ds$, where $\mu\in\mathbb{R}$, $\sigma > 0$, and $(W_s )_s>0$ is a standard Brownian motion. Specifically, we calculate the…
The goal of this paper is to review some analytic techniques that are potentially useful to shed light on the determinacy question that arises in New Keynesian models as result of a combination of several monetary policy rules; in these…
An estimation method is proposed for a wide variety of discrete time stochastic processes that have an intractable likelihood function but are otherwise conveniently specified by an integral transform such as the characteristic function,…
The Heston stochastic-local volatility model, consisting of a asset price process and a Cox--Ingersoll--Ross-type variance process, offers a wide range of applications in the financial industry. The pursuit for efficient model evaluation…
We develop a model for the dynamic evolution of default-free and defaultable interest rates in a LIBOR framework. Utilizing the class of affine processes, this model produces positive LIBOR rates and spreads, while the dynamics are…
We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as their time changed versions with jumps. The method is based on…
We propose a robust and stable lattice method which permits to obtain very accurate American option prices in presence of CIR stochastic interest rate without any numerical restriction on its parameters. Numerical results show the…
A method of constructing an entire function with given zeros and estimates of growth is suggested. It gives a possibility to describe zero sets of certain classes of entire functions of one and several variables in terms of growth of volume…
We extend the now classic structural credit modeling approach of Black and Cox to a class of "two-factor" models that unify equity securities such as options written on the stock price, and credit products like bonds and credit default…
In this paper, we consider four integrable models of directed polymers for which the free energy is known to exhibit KPZ fluctuations. A common framework for the analysis of these models was introduced in our recent work on the…
We consider quadrature formulas based on interpolation using the basis functions $1/(1+t_kx)$ $(k=1,2,3,\ldots)$ on $[-1,1]$, where $t_k$ are parameters on the interval $(-1,1)$. We investigate two types of quadratures: quadrature formulas…
We introduce a multiple curve framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. Negatives rates and positive spreads can also be accommodated in this framework. The…