Related papers: Interest rate convexity in a Gaussian framework
This paper considers the posterior contraction of non-parametric Bayesian inference on non-homogeneous Poisson processes. We consider the quality of inference on a rate function $\lambda$, given non-identically distributed realisations,…
We study the slow-roll inflation models, where the inflaton slow-rolls along a trajectory whose orthogonal directions are lifted by potentials with masses of order the Hubble parameter. In these models large non-Gaussianities can be…
This note deals with certain properties of convex functions. We provide results on the convexity of the set of minima of these functions, the behaviour of their subgradient set under restriction, and optimization of these functions over an…
Gaussian graphical models (GGMs) are widely used to recover the conditional independence structure among random variables. Recent work has sought to incorporate auxiliary covariates to improve estimation, particularly in applications such…
The majority of machine learning methods can be regarded as the minimization of an unavailable risk function. To optimize the latter, given samples provided in a streaming fashion, we define a general stochastic Newton algorithm and its…
Convex analysis and Gaussian probability are tightly connected, as mostly evident in the theory of linear regression. Our work introduces an algebraic perspective on such relationship, in the form of a diagrammatic calculus of string…
We present small-time implied volatility asymptotics for Realised Variance (RV) and VIX options for a number of (rough) stochastic volatility models via large deviations principle. We provide numerical results along with efficient and…
Rough volatility models have gained considerable interest in the quantitative finance community in recent years. In this paradigm, the volatility of the asset price is driven by a fractional Brownian motion with a small value for the Hurst…
The paper is devoted to three-parametric self-similar Gaussian Volterra processes that generalize fractional Brownian motion. We study the asymptotic growth of such processes and the properties of long- and short-range dependence. Then we…
We study the local and global versions of the convexity, which is closely related to the problem of extending a convex function on a non-convex domain to a convex function on the convex hull of the domain and beyond the convex hull. We also…
The curvature of the inertial or gravitational potentials defined as a Hodge-Helmholtz decomposition of acceleration into an irrotational and a solenoidal components, enable to federate certain domains of macroscopic physics. After two…
We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrelations, including proper long memory, which are two stylized…
We propose a model for the joint evolution of European inflation, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous time setting. We derive the valuation equation for a contingent…
We consider a formulation of gauge field theory where the gauge field $A_\alpha$ and the field strength $F_{\alpha\beta}$ are independent variables, as in the Palatini formulation of gravity. For the simplest gauge field action, this is…
This paper describes a flexible framework for generalized low-rank tensor estimation problems that includes many important instances arising from applications in computational imaging, genomics, and network analysis. The proposed estimator…
We derive some simple relations that demonstrate how the posterior convergence rate is related to two driving factors: a "penalized divergence" of the prior, which measures the ability of the prior distribution to propose a nonnegligible…
A broad class of stochastic volatility models are defined by systems of stochastic differential equations. While these models have seen widespread success in domains such as finance and statistical climatology, they typically lack an…
This paper studies system theoretic properties of the class of difference inclusions of convex processes. We will develop a framework considering eigenvalues and eigenvectors, weakly and strongly invariant cones, and a decomposition of…
Slow-roll inflation is analyzed in the context of modified gravity within the Palatini formalism. As shown in the literature, inflation in this framework requires the presence of non-traceless matter, otherwise it does not occur just as a…
This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and credible axioms. Exploring these in the simplest context of a…