Related papers: Polynomial term structure models
We construct local zero curvature representations for non-linear sigma models on homogeneous spaces, defined on a space-time of any dimension, following a recently proposed approach to integrable theories in dimensions higher than two. We…
We study a multivariate autoregressive stochastic volatility model for the first 3 principal components (level, slope, curvature) of 10 series of zero-coupon Treasury bond rates with maturities from 1 to 10 years. We fit this model using…
Interest rate market models, like the LIBOR market model, have the advantage that the basic model quantities are directly observable in financial markets. Inflation market models extend this approach to inflation markets, where zero-coupon…
This preliminary report addresses the expressive power of unit resolution regarding input data encoded with partial truth assignments of propositional variables. A characterization of the functions that are computable in this way, which we…
Time series forecasting models are becoming increasingly prevalent due to their critical role in decision-making across various domains. However, most existing approaches represent the coupled temporal patterns, often neglecting the…
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…
In this article, we consider a 2 factors-model for pricing defaultable bond with discrete default intensity and barrier where the 2 factors are stochastic risk free short rate process and firm value process. We assume that the default event…
In this paper we define a class of polynomial functors suited for constructing coalgebras representing processes in which uncertainty plays an important role. In these polynomial functors we include upper and lower probability measures,…
We build a general model for pricing defaultable claims. In addition to the usual absence of arbitrage assumption, we assume that one defaultable asset (at least) looses value when the default occurs. We prove that under this assumption, in…
Inflationary $\alpha$-attractor models can be naturally implemented in supergravity with hyperbolic geometry. They have stable predictions for observables, such as $n_s=1-{2/ N_e} $, assuming that the potential in terms of the original…
This article describes a case study concerned with modelling the price of wholesale diamonds, as part of a project to develop an online diamond auction platform. The work was extended to exploring how to develop an index that could be used…
We show that a compact rigid balanced braided monoidal category with enough compact projective objects gives rise to a system of mapping class group representations compatible with the gluing along marked intervals. A motivation to consider…
Type-based compositional distributional semantic models present an interesting line of research into functional representations of linguistic meaning. One of the drawbacks of such models, however, is the lack of training data required to…
We develop factor copula models for analysing the dependence among mixed continuous and discrete responses. Factor copula models are canonical vine copulas that involve both observed and latent variables, hence they allow tail, asymmetric…
This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing…
In this paper we present a new multi-asset pricing model, which is built upon newly developed families of solvable multi-parameter single-asset diffusions with a nonlinear smile-shaped volatility and an affine drift. Our multi-asset pricing…
This note provides upper bounds on the number of operations required to compute by value iterations a nearly optimal policy for an infinite-horizon discounted Markov decision process with a finite number of states and actions. For a given…
A standing assumption in the literature on proportional transaction costs is efficient friction. Together with robust no free lunch with vanishing risk, it rules out strategies of infinite variation, as they usually appear in frictionless…
We propose a simple market model where agents trade different types of products with each other by using money, relying only on local information. Value fluctuations of single products, combined with the condition of maximum profit in…
We determine an explicit formula for the Laplace transform of the price of an option on a maximal interest rate when the instantaneous rate satisfies Cox-Ingersoll-Ross's model. This generalizes considerably one result of Leblanc-Scaillet.