Related papers: Polynomial term structure models
We present polygraphic programs, a subclass of Albert Burroni's polygraphs, as a computational model, showing how these objects can be seen as first-order functional programs. We prove that the model is Turing complete. We use polygraphic…
We consider polynomials with integer coefficients and discuss their factorization properties in Z[[x]], the ring of formal power series over Z. We treat polynomials of arbitrary degree and give sufficient conditions for their reducibility…
In automated complexity analysis, noninterference-based type systems statically guarantee, via soundness, the property that well-typed programs compute functions of a given complexity class, e.g., the class FP of functions computable in…
Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework for the term structure of interest rates in which a frequency…
This paper offers a new class of models of the term structure of interest rates. We allow each instantaneous forward rate to be driven by a different stochastic shock, constrained in such a way as to keep the forward rate curve continuous.…
We introduce a class of short-rate models that exhibit a ``higher for longer'' phenomenon. Specifically, the short-rate is modeled as a general time-homogeneous one-factor Markov diffusion on a finite interval. The lower endpoint is assumed…
In this paper, a quantum model for the binomial market in finance is proposed. We show that its risk-neutral world exhibits an intriguing structure as a disk in the unit ball of ${\bf R}^3,$ whose radius is a function of the risk-free…
In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has conditional full support, then it admits consistent price systems…
A thorough analysis is made of the Fourier coefficients for vector-valued modular forms associated to three-dimensional irreducible representations of the modular group. In particular, the following statement is verified for all but a…
We introduce a new model construction for Martin-L\"{o}f intensional type theory, which is sound and complete for the 1-truncated version of the theory. The model formally combines the syntactic model with a notion of realizability; it also…
For a real polynomial $f$ we present explicit zero-free angular sectors in the complex plane, symmetric with respect to the real axis, with angles depending only on the degree of $f$, and vertices expressed in terms of the coefficients of…
We provide simple criteria and algorithms for expressing homogeneous polynomials as sums of powers of independent linear forms, or equivalently, for decomposing symmetric tensors into sums of rank-1 symmetric tensors of linearly independent…
In the "positive interest" models of Flesaker-Hughston, the nominal discount bond system is determined by a one-parameter family of positive martingales. In the present paper we extend this analysis to include a variety of distributions for…
The interplay among the time-evolution of the coefficients and the zeros of a generic time-dependent (monic) polynomial provides a convenient tool to identify certain classes of solvable dynamical systems. Recently this tool has been…
The goal of this paper is to specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous L\'evy processes. We provide a new framework, conditions for absence…
In this paper, we implement and evaluate a conditional diffusion model for asset return prediction and portfolio construction on large-scale equity data. Our method models the full distribution of future returns conditioned on firm…
We introduce an approximation strategy for the discounted moments of a stochastic process that can, for a large class of problems, approximate the true moments. These moments appear in pricing formulas of financial products such as bonds…
We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as…
The Convolution and Master equations governing the time behavior of the term structure of Interest Rates are set up both for continuous variables and for their discretised forms. The notion of Seed is introduced. The discretised theoretical…
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…