Related papers: The Simple Yield Curve Models
The phenomenology of the forward rate curve (FRC) can be accurately understood by the fluctuations of a stiff elastic string (Le Coz and Bouchaud, 2024). By relating the exogenous shocks driving such fluctuations to the surprises in the…
We first show that the union of a projective curve with one of its extremal secant lines satisfies the linear general position principle for hyperplane sections. We use this to give an improved approximation of the Betti numbers of curves…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
We develop a new approximative estimation method for conditional Shapley values obtained using a linear regression model. We develop a new estimation method and outperform existing methodology and implementations. Compared to the sequential…
We consider an inflationary scenario where the rate of inflaton roll defined by $\ddot\phi/H\dot \phi$ remains constant. The rate of roll is small for slow-roll inflation, while a generic rate of roll leads to the interesting case of…
We derive a closed-form expression capturing the degree of Relative Risk Aversion (RRA) of investors for non-"fair" lotteries. We argue that our formula is superior to earlier methods that have been proposed, as it is a function of only…
A continuous constraint satisfaction problem (CCSP) is a constraint satisfaction problem (CSP) with an interval domain $U \subset \mathbb{R}$. We engage in a systematic study to classify CCSPs that are complete of the Existential Theory of…
The classical approach in finance attempts to model the term structure of interest rates using specified stochastic processes and the no arbitrage argument. Up to now, no universally accepted theory has been obtained for the description of…
We characterize those ex-ante restrictions on the random utility model which lead to identification. We first identify a simple class of perturbations which transfer mass from a suitable pair of preferences to the pair formed by swapping…
We consider a dynamic pricing problem where customer response to the current price is impacted by the customer price expectation, aka reference price. We study a simple and novel reference price mechanism where reference price is the…
Consider a smooth one-parameter family t -> f_t of dynamical systems f_t, with |t|<epsilon. Assume that for all t (or for many t close to t=0) the map f_t admits a unique SRB invariant probability measure m_t. We say that linear response}…
The additive process generalizes the L\'evy process by relaxing its assumption of time-homogeneous increments and hence covers a larger family of stochastic processes. Recent research in option pricing shows that modeling the underlying log…
Regression splines are largely used to investigate and predict data behavior, attracting the interest of mathematicians for their beautiful numerical properties, and of statisticians for their versatility with respect to the applications.…
A simple statement and accessible proof of a version of the Fundamental Theorem of Asset Pricing in discrete time is provided. Careful distinction is made between prices and cash flows in order to provide uniform treatment of all…
Time-varying parameter (TVP) regressions commonly assume that time-variation in the coefficients is determined by a simple stochastic process such as a random walk. While such models are capable of capturing a wide range of dynamic…
For each $t\in\mathbb{Q}\setminus\{-1,0,1\}$, define an elliptic curve over $\mathbb{Q}$ by \begin{align*} E_t:y^2=x(x+1)(x+t^2). \end{align*} Using a formula for the root number $W(E_t)$ as a function of $t$ and assuming some standard…
ATSM are widely applied for pricing of bonds and interest rate derivatives but the consistency of ATSM when the short rate, r, is unbounded from below remains essentially an open question. First, the standard approach to ATSM uses the…
We consider the problem of estimating the slope parameter in circular functional linear regression, where scalar responses Y1,...,Yn are modeled in dependence of 1-periodic, second order stationary random functions X1,...,Xn. We consider an…
Let K be the function field of a connected regular scheme S of dimension 1, and let f : X -> Y be a finite cover of projective smooth and geometrically connected curves over K with g(X) greater or equal to 2. Suppose that f can be extended…
Let $\Phi:\R\rightarrow\R$ be an arbitrary continuously differentiable deterministic function such that $|\Phi|+|\Phi'|$ is bounded by a polynomial. In this article we consider the class of stochastic volatility models in which…