Related papers: Long-Term Factorization of Affine Pricing Kernels
The research presented in this work is motivated by some recent papers regarding hedging and valuation of financial securities subject to funding costs, collateralization and counterparty credit risk. Our goal is to provide a sound…
Motivated by the need to correct the potentially large kinematic errors in approximations used in the standard formulation of perturbative QCD, we reformulate deeply inelastic lepton-proton scattering in terms of gauge invariant, universal…
Federated learning with heterogeneous clients remains a significant challenge for deep learning, primarily due to client drift arising from inconsistent local updates. Existing federated optimization methods typically address this issue…
We introduce the analogue of Dunkl processes in the case of an affine root system of type $\widetilde{\text{A}}_1$. The construction of the affine Dunkl process is achieved by a skew-product decomposition by means of its radial part and a…
The purpose of this article is to describe all possible beliefs of market participants on objective measures under Markovian environments when a risk-neutral measure is given. To achieve this, we employ the Martin integral representation of…
Most previous calculations of the annihilation decay rates of heavy quarkonium were based on factorization assumptions that were unproven and, in some cases, even incorrect. The recent development of a general factorization formula for…
In the context of multi-curve modeling we consider a two-curve setup, with one curve for discounting (OIS swap curve) and one for generating future cash flows (LIBOR for a give tenor). Within this context we present an approach for the…
Robust principal component analysis is an important representative method in data analysis. It is usually viewed as an optimization problem involving the rank and $\ell_0$-norm of matrices. In this paper, we study the rank and $\ell_0$…
Many financial variables are found to exhibit multifractal nature, which is usually attributed to the influence of temporal correlations and fat-tailedness in the probability distribution (PDF). Based on the partition function approach of…
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary…
With the reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (SOFR) in the U.S. and the Euro Short-Term Rate (\euro STR)…
With reference to a baseline parametrization, we explore highly efficient fractional factorial designs for inference on the main effects and, perhaps, some interactions. Our tools include approximate theory together with certain carefully…
We study additive function-on-function regression where the mean response at a particular time point depends on the time point itself as well as the entire covariate trajectory. We develop a computationally efficient estimation methodology…
Factorial moments are convenient tools in nuclear physics to characterize the multiplicity distributions when phase-space resolution ($\Delta$) becomes small. For uncorrelated particle production within $\Delta$, Gaussian statistics holds…
We analyze analytic approximation formulae for pricing zero-coupon bonds in the case when the short-term interest rate is driven by a one-factor mean-reverting process with a volatility nonlinearly depending on the interest rate itself. We…
Low rank matrix factorization is a fundamental building block in machine learning, used for instance to summarize gene expression profile data or word-document counts. To be robust to outliers and differences in scale across features, a…
We establish a new formula for the fractional derivative with Mittag-Leffler kernel, in the form of a series of Riemann-Liouville fractional integrals, which brings out more clearly the non-locality of fractional derivatives and is easier…
This paper proposes a novel model of financial prices where: (i) prices are discrete; (ii) prices change in continuous time; (iii) a high proportion of price changes are reversed in a fraction of a second. Our model is analytically…
This paper investigates analytic properties of American option prices under the finite moment log-stable (FMLS) model. Under this model the price of American options is characterised by the free boundary problem of a fractional partial…
The goal of this survey article is to explain and elucidate the affine structure of recent models appearing in the rough volatility literature, and show how it leads to exponential-affine transform formulas.