Related papers: Equivalence between forward rate interpolations an…
In the present paper we construct stock price processes with the same marginal log-normal law as that of a geometric Brownian motion and also with the same transition density (and returns' distributions) between any two instants in a given…
In finance, economics and many other fields, observations in a matrix form are often observed over time. For example, many economic indicators are obtained in different countries over time. Various financial characteristics of many…
We consider rank-one non-symmetric tensor estimation and derive simple formulas for the mutual information. We start by the order 2 problem, namely matrix factorization. We treat it completely in a simpler fashion than previous proofs using…
The aim of this work is to investigate the qualitative behaviour of a financial dynamical system which contains a time delay. We investigate the dynamic response of this system of which variables are interest rate, investment demand, price…
Interest rate market models, like the LIBOR market model, have the advantage that the basic model quantities are directly observable in financial markets. Inflation market models extend this approach to inflation markets, where zero-coupon…
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate…
We show that, for the purpose of pricing Swaptions, the Swap rate and the corresponding Forward rates can be considered lognormal under a single martingale measure. Swaptions can then be priced as options on a basket of lognormal assets and…
A large fraction of the total electric load is comprised of end-use devices whose demand for energy is inherently deferrable in time. Of interest is the potential to leverage on such latent flexibility in demand to absorb variability in…
Prediction models calibrated using historical data may forecast poorly if the dynamics of the present and future differ from observations in the past. For this reason, predictions can be improved if information like forward looking views…
Cryptocurrency lending pools are services that allow lenders to pool together assets in one cryptocurrency and loan it out to borrowers who provide collateral worth more (than the loan) in a separate cryptocurrency. Borrowers can repay…
We develop an estimation methodology for a factor model for high-dimensional matrix-valued time series, where common stochastic trends and common stationary factors can be present. We study, in particular, the estimation of (row and column)…
Motivated by polynomial approximations of differential forms, we study analytical and numerical properties of a polynomial interpolation problem that relies on function averages over interval segments. The usage of segment data gives rise…
A method is presented for forming polynomial interpolants on squares and cubes, which are more efficient in the so-called Euclidean degree than other commonly used methods with the same number of collocation points. These methods have…
A novel static algorithm is proposed for numerical reparametrization of periodic planar curves. The method identifies a monitor function of the arclength variable with the true curvature of an open planar curve and considers a simple…
The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, this paper seeks to address the fear that…
Based on tensor neural network, we propose an interpolation method for high dimensional non-tensor-product-type functions. This interpolation scheme is designed by using the tensor neural network based machine learning method. This means…
In this paper, we present an approach to enhance interpolation and approximation error estimates. Based on a previously derived first-order Taylor-like formula, we demonstrate its applicability in improving the $P_1$-interpolation error…
A difference equation based method of determining two factors of a composite is presented. The feasibility of P-complexity is shown. Presentation of material is non-theoretical; intended to be accessible to a broader audience of non…
We define several notions of interpolation for vector bundles on curves and discuss their relation to slope stability. The heart of the paper demonstrates how to use degeneration arguments to prove interpolation. We use these ideas to show…
We present a nodal interpolation method to approximate a subdivision model. The main application is to model and represent curved geometry without gaps and preserving the required simulation intent. Accordingly, we devise the technique to…