Related papers: Forward transition rates
In this paper we derive stochastic representations for the finite dimensional distributions of a multidimensional diffusion on a fixed time interval, conditioned on the terminal state. The conditioning can be with respect to a fixed point…
In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We build an interest rate model for which all the market price changes of hedging instruments, interest rate swaps and…
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads…
We introduce two simple models of forward-backward stochastic differential equations with a singular terminal condition and we explain how and why they appear naturally as models for the valuation of CO2 emission allowances. Single phase…
The potential approach is a general and simple method for modelling interest rates, foreign exchange rates, and in principle other types of financial assets. This paper takes data on some liquid interest rate derivatives, and fits potential…
For a transition between two stable states, the committor is the probability that the dynamics leads to one stable state before the other. It can be estimated from trajectory data by minimizing an expression for the transition rate that…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…
We consider the forward investment problem in market models where the stock prices are continuous semimartingales adapted to a Brownian filtration. We construct a broad class of forward performance processes with initial conditions of power…
Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…
Physical systems with many degrees of freedom can often be understood in terms of transitions between a small number of metastable states. For time-homogeneous systems with short-term memory these transitions are fully characterized by a…
The recrossing correction to the transition state theory estimate of a thermal rate can be difficult to calculate when the energy barrier is flat. This problem arises, for example, in polymer escape if the polymer is long enough to stretch…
Flowgraph models provide an alternative approach in modeling a multi-state stochastic process. One of the most widely used stochastic processes that have many real-world applications especially in actuarial models is the Markov jump process…
Transition state theory (TST) is generalized for the nonequilibrium system with power-law distributions. The stochastic dynamics that gives rise to the power-law distributions for the reaction coordinate and momentum is modeled by the…
This paper considers the problem of forecasting mortality rates. A large number of models have already been proposed for this task, but they generally have the disadvantage of either estimating the model in a two-step process, possibly…
The main result of this paper that a martingale evolution can be chosen for Libor such that all the Libor interest rates have a common market measure; the drift is fixed such that each Libor has the martingale property. Libor is described…
In the paper is discussed complete probabilistic description of quantum systems with application to multiqubit quantum computations. In simplest case it is a set of probabilities of transitions to some fixed set of states. The probabilities…
A new stochastic method for describing mortality is proposed and explored. It is based on differences of observed times series of the transform $\log(-\log x)$ of survival probabilities which seem to follow simple patterns over the years.…
The accuracy of rate constants calculated using transition state theory depends crucially on the correct identification of a recrossing--free dividing surface. We show here that it is possible to define such optimal dividing surface in…
Mainstream flow matching methods typically focus on learning the local velocity field, which inherently requires multiple integration steps during generation. In contrast, Mean Velocity Flow models establish a relationship between the local…
This paper is concerned with transition fronts for reaction-diffusion equations of the Fisher-KPP type. Basic examples of transition fronts connecting the unstable steady state to the stable one are the standard traveling fronts, but the…