Related papers: Spectral term structure models
In this article, we consider a Markov-modulated model with jumps for short rate dynamics. We obtain closed formulas for the term structure and forward rates using the properties of the jump-telegraph process and the expectation hypothesis.…
For monodomain nematic elastomers, we construct generalised elastic-nematic constitutive models combining purely elastic and neoclassical-type strain-energy densities. Inspired by recent developments in stochastic elasticity, we extend…
The problem of existence of solution for the Heath-Jarrow-Morton equation with linear volatility and purely jump random factor is studied. Sufficient conditions for existence and non-existence of the solution in the class of bounded fields…
In general or normal random matrix ensembles, the support of eigenvalues of large size matrices is a planar domain (or several domains) with a sharp boundary. This domain evolves under a change of parameters of the potential and of the size…
There are many studies on development of models for analyzing some derivatives such as credit default swaps .
This paper studies sequence modeling for prediction tasks with long range dependencies. We propose a new formulation for state space models (SSMs) based on learning linear dynamical systems with the spectral filtering algorithm (Hazan et…
Genomic evolution can be viewed as string-editing processes driven by mutations. An understanding of the statistical properties resulting from these mutation processes is of value in a variety of tasks related to biological sequence data,…
The diffusion equation is extended by including spatial-temporal memory in such a manner that the conservation of the concentration is maintained. The additional memory term gives rise to the formation of non-trivial stationary solutions.…
Spatial and temporal noise power spectra of stripe patterns are investigated, using as a model a Swift-Hohenberg equation with a stochastic term. In particular, the analytical and numerical investigations show: 1) the temporal noise spectra…
The present study deals with the analysis and mapping of Swiss franc interest rates. Interest rates depend on time and maturity, defining term structure of the interest rate curves (IRC). In the present study IRC are considered in a…
We study the categorical framework for the computation of persistent homology, without reliance on a particular computational algorithm. The computation of persistent homology is commonly summarized as a matrix theorem, which we call the…
In this note we develop an extension of the Mar\v{c}enko-Pastur theorem to time series model with temporal correlations. The limiting spectral distribution (LSD) of the sample covariance matrix is characterised by an explicit equation for…
A new language model for speech recognition inspired by linguistic analysis is presented. The model develops hidden hierarchical structure incrementally and uses it to extract meaningful information from the word history - thus enabling the…
Discovering the underlying relationships among variables from temporal observations has been a longstanding challenge in numerous scientific disciplines, including biology, finance, and climate science. The dynamics of such systems are…
The problem of pattern formation in a generic two species reaction--diffusion model is studied, under the hypothesis that only one species can diffuse. For such a system, the classical Turing instability cannot take place. At variance, by…
The role of integrable systems in string theory is discussed. We remind old examples of the correspondence between stringy partition functions or effective actions and integrable equations, based on effective application of the matrix model…
There have been many studies to examine whether one trait is correlated with another trait across a group of present-day species (for example, do species with larger brains tend to have longer gestation times. Since the introduction of the…
We consider a class of growth models and models of turbulence based on the randomly stirred fluid. The similarity between the predictions of these models, noted a decade earlier, is understood on the basis of a stochastic quantization…
Since the early 1970s, stellar population modelling has been one of the basic tools for understanding the physics of unresolved systems from observation of their integrated light. Models allow us to relate the integrated spectra (or…
This article is focused on two related topics within the study of partial differential equations (PDEs) that illustrate a beautiful connection between dynamics, topology, and analysis: stability and spatial dynamics. The first is a property…