Related papers: Forward transition rates
We calculate the decay rate for a state prepared in a thermal density matrix centered on a metastable ground state. We find a rate that is intrinsically time {\it dependent}, as opposed to the {\it constant} rates of previous works. The…
We present a family of models for the term structure of interest rates which describe the interest rate curve as a stochastic process in a Hilbert space. We start by decomposing the deformations of the term structure into the variations of…
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than…
We introduce a class of short-rate models that exhibit a ``higher for longer'' phenomenon. Specifically, the short-rate is modeled as a general time-homogeneous one-factor Markov diffusion on a finite interval. The lower endpoint is assumed…
A procedure is described for estimating evolutionary rate matrices from observed site frequency data. The procedure assumes (1) that the data are obtained from a constant size population evolving according to a stationary Wright-Fisher…
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…
The main purpose of this work is to derive a partial differential equation for the reserves of life insurance liabilities subject to stochastic interest rates where the benefits and premiums depend directly on changes in the interest rate…
We consider the problem of modelling the term structure of defaultable bonds, under minimal assumptions on the default time. In particular, we do not assume the existence of a default intensity and we therefore allow for the possibility of…
A new multi-factor short rate model is presented which is bounded from below by a real-valued function of time. The mean-reverting short rate process is modeled by a sum of pure-jump Ornstein--Uhlenbeck processes such that the related bond…
One of the risks derived from selling long term policies that any insurance company has, arises from interest rates. In this paper we consider a general class of stochastic volatility models written in forward variance form. We also deal…
Strong driving of quantum systems opens opportunities for both controlling and characterizing their states. For theoretical studying of these systems properties we use the rate-equation formalism. The advantage of such approach is its…
Recent studies have identified long-range dependence as a key feature in the dynamics of both mortality and interest rates. Building on this insight, we develop a novel bi-variate stochastic framework based on mixed fractional Brownian…
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…
This dissertation unifies one of the central methods of classical rate calculation, `Transition-State Theory' (TST), with quantum mechanics, thereby deriving a rigorous `Quantum Transition-State Theory' (QTST). The resulting QTST is…
This paper shows the relationship between the forward start volatility swap price and the forward start zero vanna implied volatility of forward start options in rough volatility models. It is shown that in the short time-to-maturity limit…
An approach for the description of stochastic systems is derived. Some of the variables in the system are studied forward in time, others backward in time. The approach is based on a perturbation expansion in the strength of the coupling…
A survival model is derived from the exponential function using the concept of fractional differentiation. The hazard function of the proposed model generates various shapes of curves including increasing, increasing-constant-increasing,…
For a Markov and stationary stochastic process described by the well-known classical master equation, we introduce complex transition rates instead of real transition rates to study the pre-thermal oscillatory behaviour in complex…
This paper aims to develop practical applications of the model for the highly technical measure-valued populations developed by the authors in \cite{FanEtal20}. We consider the problem of estimation of parameters in the general age and…
This book handles the fatty liver disease from the bio-statistical point of view . It discusses the disease process in the simple general form of health-disease-death multi-states model . Continuous Time Markov Chains are used to estimate…