Related papers: Existence of L\'evy term structure models
In this paper we discuss a general framework based on symplectic geometry for the study of second order conditions in constrained variational problems on curves. Using the notion of L-derivatives we construct Jacobi curves, which represent…
Multistable L\'evy motions are extensions of L\'evy motions where the stability index is allowed to vary in time. Several constructions of these processes have been introduced recently, based on Poisson and Ferguson-Klass-LePage series…
We propose global surjectivity theorems of differentiable maps based on second order conditions. Using the homotopy continuation method, we demonstrate that, for a $C^2$ differentiable map from a Hilbert space to a finite-dimensional…
We present a HJM approach to the projection of multiple yield curves developed to capture the volatility content of historical term structures for risk management purposes. Since we observe the empirical data at daily frequency and only for…
The Convolution and Master equations governing the time behavior of the term structure of Interest Rates are set up both for continuous variables and for their discretised forms. The notion of Seed is introduced. The discretised theoretical…
SOFR derivatives market remains illiquid and incomplete so it is not amenable to classical risk-neutral term structure models which are based on the assumption of perfect liquidity and completeness. This paper develops a statistical SOFR…
The theory of monotonicity and duality is developed for general one-dimensional Feller processes. Moreover it is shown that local monotonicity conditions (conditions on the L\'evy kernel) are sufficient to prove the well-posedness of the…
Thirty years after the introduction of port-Hamiltonian systems, interest in this system class still remains high among systems and control researchers. Very recently, Jacob and Laasri obtained strong results on the solvability and…
The one dimensional distribution of a L\'{e}vy process is not known in general even though its characteristic function is given by the famous L\'{e}vy-Khinchine theorem. This article gives an exact series representation for the one…
Using the theory of extensions of L-infinity algebras, we construct rational homotopy models for classifying spaces of fibrations, giving answers in terms of classical homological functors, namely the Chevalley-Eilenberg and Harrison…
We prove limit theorems for cylindrical martingale problems associated to L\'evy generators. Furthermore, we give sufficient and necessary conditions for the Feller property of well-posed problems with continuous coefficients. We discuss…
In this paper we propose a general derivative pricing framework which employs decoupled time-changed (DTC) L\'evy processes to model the underlying asset of contingent claims. A DTC L\'evy process is a generalized time-changed L\'evy…
We give sufficient conditions for when an autonomous elliptic Leray-Lions equation in the plane has a conformal structure. This allows the Leray-Lions equation to be linearised in a special form through the hodograph transform.
FL$_\mathrm{ew}$-algebras form the algebraic semantics of the full Lambek calculus with exchange and weakening. We investigate two relations, called satisfiability and positive satisfiability, between FL$_\mathrm{ew}$-terms and…
Peixoto's structural stability and density theorems represent milestones in the modern theory of dynamical systems and their applications. Despite the importance of these theorems, they are often treated rather superficially, if at all, in…
Continuous-time stochastic systems have attracted a lot of attention recently, due to their wide-spread use in finance for modelling price-dynamics. More recently models taking into accounts shocks have been developed by assuming that the…
We continue the investigation of the correspondence between systems of conservation laws and congruences of lines in projective space. Relationship between "additional" conservation laws and hypersurfaces conjugate to a congruence is…
For a converging sequence of exponential L\'evy models, we give conditions under which the associated sequence of option prices converges. We also study the behaviour of the prices when no such convergence holds. We then consider two…
The WDVV equations of associativity in 2-d topological field theory are completely integrable third order Monge-Amp\`ere equations which admit bi-Hamiltonian structure. The time variable plays a distinguished role in the discussion of…
Exponential L\'evy processes have been used for modelling financial derivatives because of their ability to exhibit many empirical features of markets. Using their multidimensional analogue, a general analytic pricing formula is obtained,…