Related papers: Interest rate convexity in a Gaussian framework
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A key idea in convex optimization theory is to use well-structured affine functions to approximate general functions, leading to impactful developments in conjugate functions and convex duality theory. This raises the question: what are the…
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I present a short review of models for transverse-momentum distributions and transversity, with a particular attention on general features common to many models. I compare some model results with experimental extractions. I discuss the…
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In this article, we consider a Markov-modulated model with jumps for short rate dynamics. We obtain closed formulas for the term structure and forward rates using the properties of the jump-telegraph process and the expectation hypothesis.…
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In recent years different explanations are provided for both an inflation and a recent acceleration in the expansion of the universe. In this Letter we show that a model of physical interest is the modification of general relativity with a…
The purpose of this paper is introducing rigorous methods and formulas for bilateral counterparty risk credit valuation adjustments (CVA's) on interest-rate portfolios. In doing so, we summarize the general arbitrage-free valuation…
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This review presents an overview of various kinds of models -- physical, abstract, mathematical, visual -- that can be used to present the concepts and applications of Einstein's general theory of relativity at the level of undergraduate…
Non-convex optimization plays a key role in a growing number of machine learning applications. This motivates the identification of specialized structure that enables sharper theoretical analysis. One such identified structure is…
Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the multiplicity of investment strategies' horizons, we embed this concept in a continuous time stochastic volatility…
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A new multivariate stochastic volatility estimation procedure for financial time series is proposed. A Wishart autoregressive process is considered for the volatility precision covariance matrix, for the estimation of which a two step…