Related papers: Existence of L\'evy term structure models

An introduction is given to the logic of sheaves of structures and to set theoretic forcing constructions based on this logic. Using these tools, it is presented an alternative proof of the independence of the Continuum Hypothesis; which…

We consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follows a multidimensional exponential Levy model. We carefully examine the relation between the option prices, related partial…

In this work more questions arise than answers given, for which of course we do not apologize. The core of this paper is concerned with the construction of a ``constant'' t-structure on the bounded derived category of coherent sheaves…

We provide a full classification of all attainable term structure shapes in the two-factor Vasicek model of interest rates. In particular, we show that the shapes normal, inverse, humped, dipped and hump-dip are always attainable. In…

We use Kiehl-Verdier's and Houzel's finiteness theorems in the setting of local analytic geometry, and the Whitney-Thom theory of stratified spaces, to prove that fibrewise constructible complex of sheaves have coherent direct images. We…

A general framework for the theory of statistical solutions on trajectory spaces is constructed for a wide range of equations involving incompressible viscous flows. This framework is constructed with a general Hausdorff topological space…

In this paper, we investigate the existence and uniqueness of global solutions to the Cauchy problem for a coupled stochastic chemotaxis-Navier-Stokes system with multiplicative L\'{e}vy noises in $\mathbb{R}^2$. The existence of global…

This is the first of a series of papers on the $L^2$-theory for formally integrable structures. It is devoted to constructing a resolution of the solution sheaf for a class of overdetermined systems introduced by L. H{\"o}rmander. A…

We give a geometric approach to proving know regularity and existence theorems for the 2D Navier-Stokes Equations. We feel this point of view is instructive in better understanding the dynamics. The technique is inspired by constructions in…

Monotone L\'evy processes with additive increments are defined and studied. It is shown that these processes have a natural Markov structure and their Markov transition semigroups are characterized using the monotone L\'evy-Khintchine…

Recently Carr and Wu (2004, 2005) and also Huang and Wu (2004) show that most stochastic processes used in traditional option pricing models can be cast as special cases of time-changed L\'evy processes. In particular these are models which…

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,…

A fairly general continuation theorem of Leray-Schauder type for the class of so-called admissible multimaps is set forth. This result is then used to establish a universal rule for solving operator inclusions of Hammerstein type in…

The paper studies a system of first order Hamilton-Jacobi equations with discontinuous coefficients, arising from a model of deterministic optimal debt management in infinite time horizon, with exponential discount and currency devaluation.…

This paper investigates Levi flat structures from the perspective of structure sheaves. We employ formal integrability to construct a class of differential complexes, thereby providing a resolution for the structure sheaf and a global…

In the "positive interest" models of Flesaker-Hughston, the nominal discount bond system is determined by a one-parameter family of positive martingales. In the present paper we extend this analysis to include a variety of distributions for…

In the present paper correspondence between non-Noether symmetries and bi-Hamiltonian structures is disscussed. We show that in regular Hamiltonian systems presence of the global bi-Hamiltonian structure is caused by symmetry of the space…

Suppose Xt is either a regular exponential type Levy process or a Levy process with a bounded variation jumps measure. The distribution of the extrema of Xt play a crucial role in many financial and actuarial problems. This article employs…

Let $\mathcal{L}$ be a first-order two-sorted language. Let $S$ be some fixed structure. A standard structure is an $\mathcal{L}$-structure of the form $(M,S)$, where $M$ is arbitrary. When $S$ is a compact topological space (and…

A Lie-Hamilton system is a nonautonomous system of first-order ordinary differential equations describing the integral curves of a $t$-dependent vector field taking values in a finite-dimensional real Lie algebra of Hamiltonian vector…