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Nonlinear systems of affine control inputs overarch many sensor fusion instances. Analyzing whether a state variable in such a nonlinear system can be estimated (i.e., observability) informs better estimator design. Among the research on…
We introduce the notion of a Lie algebroid structure on an affine bundle whose base manifold is fibred over the real numbers. It is argued that this is the framework which one needs for coming to a time-dependent generalization of the…
We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and show that a rational two-factor lognormal multi-curve model…
In this paper we inquire inflationary scenarios built on a simplified version of the polynomial affine model of gravity. Given the absence of a metric tensor in the formulation of the model, we build a \emph{kinetic term} contracting the…
Decentralized Finance (DeFi) has revolutionized financial markets by enabling complex asset-exchange protocols without trusted intermediaries. Automated Market Makers (AMMs) are a central component of DeFi, providing the core functionality…
We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European…
We study the long-time behavior of affine processes on positive self-adjoiont Hilbert-Schmidt operators which are of pure-jump type, conservative and have finite second moment. For subcritical processes we prove the existence of a unique…
Steering intermediate representations has emerged as a powerful strategy for controlling generative models, particularly in post-deployment alignment and safety settings. However, despite its empirical success, it currently lacks a…
We construct a bijection between admissible representations for an affine Lie algebra $\mathfrak{g}$ at boundary admissible levels and $\mathbb{C}^\times$ fixed points in homogeneous elliptic affine Springer fibres for the Langlands dual…
We construct the Lafforgue variety, an affine scheme equipped with an open dense subscheme parametrizing the simple modules of a non-commutative unital algebra $R$ over any field $k$, provided that the center $Z(R)$ is finitely generated…
It is generally accepted that many time series of practical interest exhibit strong dependence, i.e., long memory. For such series, the sample autocorrelations decay slowly and log-log periodogram plots indicate a straight-line…
We review briefly the existing vertex-operator-algebraic constructions of various tensor category structures on module categories for affine Lie algebras. We discuss the results first conjectured in the work of Moore and Seiberg that led us…
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,…
We will first clarify the loop group formulations for both hyperbolic and elliptic definite affine spheres in R^3. Then we classify the rational elements with 3 poles or 6 poles in a real twisted loop group, and compute dressing actions of…
The paper proposes an expanded version of the Local Variance Gamma model of Carr and Nadtochiy by adding drift to the governing underlying process. Still in this new model it is possible to derive an ordinary differential equation for the…
In this paper, we study the statistical properties of the moneyness scaling transformation by Leung and Sircar (2015). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the…
In this work, we aim to gain a better understanding of the volatility smile observed in options markets through microsimulation (MS). We adopt two types of active traders in our MS model: speculators and arbitrageurs, and call and put…
The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, this paper seeks to address the fear that…
It is widely believed that noise conditioning is indispensable for denoising diffusion models to work successfully. This work challenges this belief. Motivated by research on blind image denoising, we investigate a variety of…
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized…