Related papers: Polynomial term structure models
The relationship between a set of design points and the class of hierarchical polynomial models identifiable from the design is investigated. Saturated models are of particular interest. Necessary and sufficient conditions are derived on…
The paper treats the financial market as a communication system, using four information-theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model minimizes the…
We realize several combinatorial Hopf algebras based on set compositions, plane trees and segmented compositions in terms of noncommutative polynomials in infinitely many variables. For each of them, we describe a trialgebra structure, an…
We introduce a novel coarse-grained bead-spring model for flexible polymers to systematically examine the effects of an adjusted bonded potential on the formation and stability of structural macrostates in a thermal environment. The density…
This paper examines a semi-analytical approach for pricing American options in time-inhomogeneous models characterized by negative interest rates (for equity/FX) or negative convenience yields (for commodities/cryptocurrencies). Under such…
Effective pair interactions with a soft-repulsive component are a well-known feature of polymer solutions and colloidal suspensions, but they also provide a key to interpret the high-pressure behaviour of simple elements. We have computed…
Fracton topological phases host fractionalized excitations that are either completely immobile or only mobile along certain lines or planes. We demonstrate how such phases can be understood in terms of two fundamentally different types of…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
We introduce a probabilistic formalism subsuming Markov random fields of bounded tree width and probabilistic context free grammars. Our models are based on a representation of Boolean formulas that we call case-factor diagrams (CFDs). CFDs…
In this paper, we focus on option pricing models based on space-time fractional diffusion. We briefly revise recent results which show that the option price can be represented in the terms of rapidly converging double-series and apply these…
In this communication, some economic models given by functional mappings are addressed. These are models for random markets where agents trade by pairs and exchange their money in a random and conservative way. They display the exponential…
To construct a no-arbitrage defaultable bond market, we work on the state price density framework. Using the heat kernel approach (HKA for short) with the killing of a Markov process, we construct a single defaultable bond market that…
In this article, we consider polynomials of the form $f(x)=a_0+a_{n_1}x^{n_1}+a_{n_2}x^{n_2}+\dots+a_{n_r}x^{n_r}\in \mathbb{Z}[x],$ where $|a_0|\ge |a_{n_1}|+\dots+|a_{n_r}|,$ $|a_0|$ is a prime power and $|a_0|\nmid |a_{n_1}a_{n_r}|$. We…
We consider indifference pricing of contingent claims consisting of payment flows in a discrete time model with proportional transaction costs and under exponential disutility. This setting covers utility maximisation as a special case. A…
Let $k$ be a unital commutative ring. In this paper, we study polynomial functors from the category of finitely generated free nilpotent groups to the category of $k$-modules, focusing on comparisons across different nilpotency classes and…
We obtain explicit upper bounds for the number of irreducible factors for a class of compositions of polynomials in several variables over a given field. In particular, some irreducibility criteria are given for this class of compositions…
We follow the lines of Musiela and Rutkowski and extend their interpolation method to models with jumps. Together with an extension method for the tenor structure of a given LIBOR market model (LMM) we get an infinite LIBOR termstructure.…
For a first-order theory $T$, the Constraint Satisfaction Problem of $T$ is the computational problem of deciding whether a given conjunction of atomic formulas is satisfiable in some model of $T$. In this article we develop sufficient…
Exchangeability is a central notion in statistics and probability theory. The assumption that an infinite sequence of data points is exchangeable is at the core of Bayesian statistics. However, finite exchangeability as a statistical…
We prove a singular Darboux type theorem for homogeneous polynomial closed $2$-forms of degree one on $\mathbb{C}^n$. As application, we classify non-integrable codimension one distributions, of degree one, and arbitrary classes on…