Related papers: Consistent Recalibration of Yield Curve Models
Rough volatility models are known to reproduce the behavior of historical volatility data while at the same time fitting the volatility surface remarkably well, with very few parameters. However, managing the risks of derivatives under…
This thesis is devoted to the study of affine processes and their applications in financial mathematics. In the first part we consider the theory of time-inhomogeneous affine processes on general state spaces. We present a concise setup for…
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 a new Conditional BEKK matrix-F (CBF) model for the time-varying realized covariance (RCOV) matrices. This CBF model is capable of capturing heavy-tailed RCOV, which is an important stylized fact but could not be handled…
We introduce a flexible and tractable infinite-dimensional stochastic volatility model. More specifically, we consider a Hilbert space valued Ornstein-Uhlenbeck-type process, whose instantaneous covariance is given by a pure-jump stochastic…
The dynamic behavior of jointed assemblies exhibiting friction nonlinearities features amplitude-dependent dissipation and stiffness. To develop numerical simulations for predictive and design purposes, macro-scale High Fidelity Models…
In this paper we analyse the five-factor capital market model of Munk et al.(2004). The model features a Vasicek interest rate model, an equity index with mean-reverting excess return and an index for realized inflation with mean-reverting…
Driver assistance systems support drivers in operating vehicles in a safe, comfortable and efficient way, and thus may induce changes in traffic flow characteristics. This paper puts forward a receding horizon control framework to model…
We present Monte Carlo-Euler methods for a weak approximation problem related to the Heath-Jarrow-Morton (HJM) term structure model, based on \Ito stochastic differential equations in infinite dimensional spaces, and prove strong and weak…
We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrelations, including proper long memory, which are two stylized…
We propose a heterogeneous simultaneous graphical dynamic linear model (H-SGDLM), which extends the standard SGDLM framework to incorporate a heterogeneous autoregressive realised volatility (HAR-RV) model. This novel approach creates a…
We use a rough path-based approach to investigate the degeneracy problem in the context of pathwise control. We extend the framework developed in arXiv:1902.05434 to treat admissible controls from a suitable class of H\"older continuous…
Concept-Based Models (CBMs) are a class of deep learning models that provide interpretability by explaining predictions through high-level concepts. These models first predict concepts and then use them to perform a downstream task.…
Solid-fuel ramjets offer a compact, energy-dense propulsion option for long-range, high-speed flight but pose significant challenges for thrust regulation due to strong nonlinearities, limited actuation authority, and complex multi-physics…
The fidelity of collisional-radiative (CR) models is critical for advancing our understanding of radiative properties and ionization balance in fusion plasmas. In this work, we present and evaluate hybrid CR schemes that combine…
We consider sampled-data Model Predictive Control (MPC) of nonlinear continuous-time control systems. We derive sufficient conditions to guarantee recursive feasibility and asymptotic stability without stabilising costs and/or constraints.…
Feature compression is increasingly important for improving the efficiency of downstream tasks, especially in applications involving large-scale or multi-modal data. While existing methods typically rely on dedicated models for achieving…
Rough volatility models are very appealing because of their remarkable fit of both historical and implied volatilities. However, due to the non-Markovian and non-semimartingale nature of the volatility process, there is no simple way to…
We provide a unified framework for modeling LIBOR rates using general semimartingales as driving processes and generic functional forms to describe the evolution of the dynamics. We derive sufficient conditions for the model to be…
We investigate relaxation and correlations in a class of mean-reverting models for stochastic variances. We derive closed-form expressions for the correlation functions and leverage for a general form of the stochastic term. We also discuss…