Related papers: Multiple yield curve modelling with CBI processes
We propose a continuous model for evolutionary rate variation across sites and over the tree and derive exact transition probabilities under this model. Changes in rate are modelled using the CIR process, a diffusion widely used in…
Numerous solutions for yield estimation are either based on data-driven models, or on crop-simulation models (CSMs). Researchers tend to build data-driven models using nationwide crop information databases provided by agencies such as the…
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…
This work provides a brief introduction to continuous-state branching processes (CB-processes) and continuous-state branching processes with immigration (CBI-processes) accessible to graduate students with reasonable background in…
Persistent shifts in term-structure dynamics undermine the stability of single-regime models in long samples. We develop an arbitrage-free regime-switching generalized CIR (RS-GCIR) model that jointly prices the Chinese government bond…
This article presents a new continuous-time modelling framework for multivariate time series of counts which have an infinitely divisible marginal distribution. The model is based on a mixed moving average process driven by L\'{e}vy noise -…
Interest-rate risk is a key factor for property-casualty insurer capital. P&C companies tend to be highly leveraged, with bond holdings much greater than capital. For GAAP capital, bonds are marked to market but liabilities are not, so…
In fixed income sector, the yield curve is probably the most observed indicator by the market for trading and fifinancing purposes. A yield curve plots interest rates across different contract maturities from short end to as long as 30…
This work introduces a new framework for modeling financial markets through an interpretable probabilistic state machine. By clustering historical returns based on momentum and risk features across multiple time horizons, we identify…
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a…
Models of various NLP tasks have been shown to exhibit stereotypes, and the bias in the question answering (QA) models is especially harmful as the output answers might be directly consumed by the end users. There have been datasets to…
We consider a model for interest rates, where the short rate is given by a time-homogenous, one-dimensional affine process in the sense of Duffie, Filipovic and Schachermayer. We show that in such a model yield curves can only be normal,…
Multistate models offer a powerful framework for studying disease processes and can be used to formulate intensity-based and more descriptive marginal regression models. They also represent a natural foundation for the construction of joint…
In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models to capture volatility smiles and skews in real markets, several extensions of LIBOR models to incorporate stochastic…
The traditional way of building a yield curve is to choose an interpolation on discount factors, implied by the market tradable instruments. Since then, constructions based on specific interpolations of the forward rates have become the…
We model continuous-time information flows generated by a number of information sources that switch on and off at random times. By modulating a multi-dimensional L\'evy random bridge over a random point field, our framework relates the…
The purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and marginal utility of aggregate optimal consumption. For such…
Credit risk scoring must support high-stakes lending decisions where data distributions change over time, probability estimates must be reliable, and group-level fairness is required. While modern machine learning models improve default…
It is shown that it is possible to apply $\delta \cN$ to some special non-canonic cases. We extended the multi-brid idea to the multi-field separable model with a non-canonical kinetic term, mainly the DBI model. Assuming a specific surface…
We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX…