Related papers: Equivalence between forward rate interpolations an…
There is an observed basis between repo discounting, implied from market repo rates, and bond discounting, stripped from the market prices of the underlying bonds. Here, this basis is explained as a convexity effect arising from the…
Given a set of snapshots from a temporal network we develop, analyze, and experimentally validate a so-called network interpolation scheme. Our method allows us to build a plausible, albeit random, sequence of graphs that transition between…
Methods of constructing trigonometric fundamental splines with constant sign and sign-changing convergence factors are given. An example and graphics illustrating the concepts of convergence and interpolation grids are given. Some methods…
We provide a general and flexible approach to LIBOR modeling based on the class of affine factor processes. Our approach respects the basic economic requirement that LIBOR rates are non-negative, and the basic requirement from mathematical…
We establish linear convergence rates for a certain class of extrapolated fixed point algorithms which are based on dynamic string-averaging methods in a real Hilbert space. This applies, in particular, to the extrapolated simultaneous and…
An efficient method to price bonds with optional sinking feature is presented. Such instruments equip their issuer with the option (but not the obligation) to redeem parts of the notional prior to maturity, therefore the future cash flows…
The goal of this note is to prove a compact embedding result for spaces of forward rate curves. As a consequence of this result, we show that any forward rate evolution can be approximated by a sequence of finite dimensional processes in…
Many high dimensional integrals can be reduced to the problem of finding the relative measures of two sets. Often one set will be exponentially larger than the other, making it difficult to compare the sizes. A standard method of dealing…
The appropriate discount rate for evaluating policies is a critical consideration in economic decision-making. This paper presents a new model for calculating the derived discount rate for a society that includes different groups with…
In the recent paper [8], a new method to compute stable kernel-based interpolants has been presented. This \textit{rescaled interpolation} method combines the standard kernel interpolation with a properly defined rescaling operation, which…
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…
A large class of trading strategies focus on opportunities offered by the yield curve. In particular, a set of yield curve trading strategies are based on the view that the yield curve mean-reverts. Based on these strategies' positive…
Based on a new Taylor-like formula, we derived an improved interpolation error estimate in $W^{1,p}$. We compare it with the classical error estimates based on the standard Taylor formula, and also with the corresponding interpolation error…
Tensor time series, which is a time series consisting of tensorial observations, has become ubiquitous. It typically exhibits high dimensionality. One approach for dimension reduction is to use a factor model structure, in a form similar to…
As decentralized money market protocols continue to grow in value locked, there have been a number of optimizations proposed for improving capital efficiency. One set of proposals from Euler Finance and Mars Protocol is to have an interest…
For the quadratic Lagrange interpolation function, an algorithm is proposed to provide explicit and verified bound for the interpolation error constant that appears in the interpolation error estimation. The upper bound for the…
A pricing formula for discount bonds, based on the consideration of the market perception of future liquidity risk, is established. An information-based model for liquidity is then introduced, which is used to obtain an expression for the…
An important question in economics is how people choose between different payments in the future. The classical normative model predicts that a decision maker discounts a later payment relative to an earlier one by an exponential function…
The constitutive modelling of granular, porous and quasi-brittle materials is based on yield (or damage) functions, which may exhibit features (for instance, lack of convexity, or branches where the values go to infinity, or false elastic…
In this paper we present a rigorously motivated pricing equation for derivatives, including general cash collateralization schemes, which is consistent with quoted market bond prices. Traditionally, there have been differences in how…