Related papers: Spectral term structure models
This paper is concerned with finite dimensional models for the entire term structure for energy futures. As soon as a finite dimensional set of possible yield curves is chosen, one likes to estimate the dynamic behaviour of the yield curve…
This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of forward rates driven by infinitely many Brownian motions and…
The paper presents a language model that develops syntactic structure and uses it to extract meaningful information from the word history, thus enabling the use of long distance dependencies. The model assigns probability to every joint…
We propose a formulation of the term structure of interest rates in which the forward curve is seen as the deformation of a string. We derive the general condition that the partial differential equations governing the motion of such string…
We study the Hull-White model for the term structure of interest rates in the presence of volatility uncertainty. The uncertainty about the volatility is represented by a set of beliefs, which naturally leads to a sublinear expectation and…
Mathematical methods of population genetics and framework of exchangeability provide a Markov chain model for analysis and interpretation of stochastic behaviour of equity markets, explaining, in particular, market shape formation,…
We study time continuous branching processes with exponentially distributed lifetimes, with two types of cells that proliferate according to binary fission. A range of possible system dynamics are considered, each of which is characterized…
SOFR derivatives market remains illiquid and incomplete so it is not amenable to classical risk-neutral term structure models which are based on the assumption of perfect liquidity and completeness. This paper develops a statistical SOFR…
A method for numerical approximation of a new class of fractional parabolic stochastic evolution equations is introduced and analysed. This class of equations has recently been proposed as a space-time extension of the SPDE-method in…
In order to accommodate the empirical fact that population structures are rarely simple, modern studies of evolutionary dynamics allow for complicated and highly-heterogeneous spatial structures. As a result, one of the most difficult…
We derive explicit valuation formulae for an exotic path-dependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier transform methods for option pricing. We consider two models…
Level, slope, and curvature are three commonly-believed principal components in interest rate term structure and are thus widely used in modeling. This paper characterizes the heterogeneity of how misspecified such models are through time.…
Fixed income markets share many features with the equity markets. However there are significant differences as well and many attempts have been done in the past to develop specific tools which describe (and possibly forecasts) the behavior…
General birth-and-death as well as hopping stochastic dynamics of infinite particle systems in the continuum are considered. We derive corresponding evolution equations for correlation functions and generating functionals. General…
We propose an alternative approach on the existence of affine realizations for HJM interest rate models. It is applicable to a wide class of models, and simultaneously it is conceptually rather comprehensible. We also supplement some known…
We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term structure is summarized and shown to be equivalent to a particular type of the reduced form credit risk model,…
We introduce a class of stochastic integer sequences. In these sequences, every element is a sum of two previous elements, at least one of which is chosen randomly. The interplay between randomness and memory underlying these sequences…
The hilbert-space structure of quantum mechanics is related to the causal structure of space-time. The usual measurement hypotheses apparently preclude nonlinear or stochastic quantum evolution. By admitting a difference in the calculus of…
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and…
We give a overview of stochastic models of evolution that have found applications in genetics, ecology and linguistics for an audience of nonspecialists, especially statistical physicists. In particular, we focus mostly on neutral models in…