Related papers: Kriging of financial term-structures
The shape of the futures term structure is essential to commodity hedgers and speculators as futures prices serve as a forecast of future spot prices. Commodity markets quotes futures prices on a selection of maturities and delivery…
In this paper, we analyze the diversity of term structure functions (e.g., yield curves, swap curves, credit curves) constructed in a process which complies with some admissible properties: arbitrage-freeness, ability to fit market quotes…
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…
We provide a new kriging procedure of processes on graphs. Based on the construction of Gaussian random processes indexed by graphs, we extend to this framework the usual linear prediction method for spatial random fields, known as kriging.…
Kriging based on Gaussian random fields is widely used in reconstructing unknown functions. The kriging method has pointwise predictive distributions which are computationally simple. However, in many applications one would like to predict…
Seismic fragility curves have been introduced as key components of Seismic Probabilistic Risk Assessment studies. They express the probability of failure of mechanical structures conditional to a seismic intensity measure and must take into…
Kriging and Gaussian Process Regression are statistical methods that allow predicting the outcome of a random process or a random field by using a sample of correlated observations. In other words, the random process or random field is…
The use of weather index insurances is subject to spatial basis risk, which arises from the fact that the location of the user's risk exposure is not the same as the location of any of the weather stations where an index can be measured. To…
This paper introduces a novel stochastic model for credit spreads. The stochastic approach leverages the diffusion of default intensities via a CIR++ model and is formulated within a risk-neutral probability space. Our research primarily…
Structural reliability methods aim at computing the probability of failure of systems with respect to some prescribed performance functions. In modern engineering such functions usually resort to running an expensive-to-evaluate…
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,…
Many geosciences data are imprecise due to various limitations and uncertainties in the measuring process. One way to preserve this imprecision in a geostatistical mapping framework is to characterize the measurements as intervals rather…
Spatial interpolation is a crucial task in geography. As perhaps the most widely used interpolation methods, geostatistical models -- such as Ordinary Kriging (OK) -- assume spatial stationarity, which makes it difficult to capture the…
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…
Functional Ordinary Kriging is the most widely used method to predict a curve at a given spatial point. However, uncertainty remains an open issue. In this article a distribution-free prediction method based on two different modulation…
Kriging is a widely recognized method for making spatial predictions. On the sphere, popular methods such as ordinary kriging assume that the spatial process is intrinsically homogeneous. However, intrinsic homogeneity is too strict in many…
In simulation, Median Polish Kriging is a technique used to predict unobserved data points in two-dimensional space. The linear behavior of the traditional Median Polish Kriging in the estimation of the mean function in a high grid makes…
This work falls within the context of predicting the value of a real function at some input locations given a limited number of observations of this function. The Kriging interpolation technique (or Gaussian process regression) is often…
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…
A crucial step in fitting a regression model to data is determining the model's structure, i.e., the subset of explanatory variables to be included. However, the uncertainty in this step is often overlooked due to a lack of satisfactory…