Related papers: Spectral term structure models
Stochastic dynamical systems arise naturally across nearly all areas of science and engineering. Typically, a dynamical system model is based on some prior knowledge about the underlying dynamics of interest in which probabilistic features…
We introduce here for the first time the long-term swap rate, characterised as the fair rate of an overnight indexed swap with infinitely many exchanges. Furthermore we analyse the relationship between the long-term swap rate, the long-term…
In sustained growth with random dynamics stationary distributions can exist without detailed balance. This suggests thermodynamical behavior in fast growing complex systems. In order to model such phenomena we apply both a discrete and a…
A model for the generation of fractal growth networks in Euclidean spaces of arbitrary dimension is presented. These networks are considered as the spatial support of reaction-diffusion and pattern formation processes. The local dynamics at…
Many biological systems regulate phenotypic heterogeneity as a fitness-maximising strategy in uncertain and dynamic environments. Analysis of such strategies is typically confined both to a discrete set of environmental conditions, and to a…
Spatial heteroskedasticity refers to stochastically changing variances and covariances in space. Such features have been observed in, for example, air pollution and vegetation data. We study how volatility modulated moving averages can…
The Heath-Jarrow-Morton (HJM) formulation of treasury bonds in terms of forward rates is recast as a problem in path integration. The HJM-model is generalized to the case where all the forward rates are allowed to fluctuate independently.…
This chapter covers methodological issues related to estimation, testing and computation for models involving structural changes. Our aim is to review developments as they relate to econometric applications based on linear models.…
We model stochastic choice as environment-dependent switching among a small library of deterministic decision rules. A Random Rule Model generates menu-level choice probabilities via named, interpretable rules weighted by observable menu…
In this paper we explore a covariance spectral modelling strategy for spatial-temporal processes which involves a spectral approach for time but a covariance approach for space.It facilitates the analysis of coherence between the temporal…
In this paper we present a survey on recent developments in the study of ambit fields and point out some open problems. Ambit fields is a class of spatio-temporal stochastic processes, which by its general structure constitutes a flexible…
We consider the problem of embedding a dynamic network, to obtain time-evolving vector representations of each node, which can then be used to describe changes in behaviour of individual nodes, communities, or the entire graph. Given this…
The density hypothesis on random times becomes now a standard in modeling of risks. One of the basic reasons to introduce the density hypothesis is the desire to have a computable credit risk model. However, recent work shows that merely an…
Models of complex networks often incorporate node-intrinsic properties abstracted as hidden variables. The probability of connections in the network is then a function of these variables. Real-world networks evolve over time, and many…
A mechanism for the inheritance of properties of spectra by differential spectra is developed and applied to prove geometric properties of morphisms of differential algebraic varieties.
Fluctuations in the return time statistics of a dynamical system can be described by a new spectrum of dimensions. Comparison with the usual multifractal analysis of measures is presented, and difference between the two corresponding sets…
Evolutionary branching is analysed in a stochastic, individual-based population model under mutation and selection. In such models, the common assumption is that individual reproduction and life career are characterised by values of a…
Models relating to the Species-Area curve are usually defined at the species level, and concerned only with ecological timescales. We examine an individual-based model of co-evolution on a spatial lattice based on the Tangled Nature model,…
The concept of multifractality offers a powerful formal tool to filter out multitude of the most relevant characteristics of complex time series. The related studies thus far presented in the scientific literature typically limit themselves…
The Secured Overnight Funding Rate (SOFR) is becoming the main Risk-Free Rate benchmark in US dollars, thus interest rate term structure models need to be updated to reflect the key features exhibited by the dynamics of SOFR and the forward…