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This paper presents an extension of Correspondence Analysis (CA) to tensors through High Order Singular Value Decomposition (HOSVD) from a geometric viewpoint. Correspondence analysis is a well-known tool, developed from principal component…
The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that…
The graphical representation of the correlation matrix by means of different multivariate statistical methods is reviewed, a comparison of the different procedures is presented with the use of an example data set, and an improved…
We introduce the Volterra Stein-Stein model with stochastic interest rates, where both volatility and interest rates are driven by correlated Gaussian Volterra processes. This framework unifies various well-known Markovian and non-Markovian…
This article consolidates and extends past work on derivative pricing adjustments, including XVA, by providing an encapsulating representation of the adjustment between any two derivative pricing functions, within an Ito SDE/parabolic PDE…
The X-valuation adjustment (XVA) problem, which is a recent topic in mathematical finance, is considered and analyzed. First, the basic properties of backward stochastic differential equations (BSDEs) with a random horizon in a…
This paper describes an approach to simultaneously identify clusters and estimate cluster-specific regression parameters from the given data. Such an approach can be useful in learning the relationship between input and output when the…
We propose a fast and accurate numerical method for pricing European swaptions in multi-factor Gaussian term structure models. Our method can be used to accelerate the calibration of such models to the volatility surface. The pricing of an…
A novel hybrid scheme is proposed. The {\it ab initio} LDA calculation is used to construct the Wannier functions and obtain single electron and Coulomb parameters of the multiband Hubbard-type model. In strong correlation regime the…
Motivated by the equations of cross valuation adjustments (XVAs) in the realistic case where capital is deemed fungible as a source of funding for variation margin, we introduce a simulation/regression scheme for a class of anticipated…
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…
We develop the formalism to include substructure in the halo model of clustering. Real halos are not likely to be perfectly smooth, but have substructure which has so far been neglected in the halo model -- our formalism allows one to…
Cluster-weighted factor analyzers (CWFA) are a versatile class of mixture models designed to estimate the joint distribution of a random vector that includes a response variable along with a set of explanatory variables. They are…
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…
High-dimensional measurements are often correlated which motivates their approximation by factor models. This holds also true when features are engineered via low-dimensional interactions or kernel tricks. This often results in over…
Fractional dissipation is a powerful tool to study non-local physical phenomena such as damping models. The design of geometric, in particular, variational integrators for the numerical simulation of such systems relies on a variational…
This paper explores the capabilities of the Constant Elasticity of Variance model driven by a mixed-fractional Brownian motion (mfCEV) [Axel A. Araneda. The fractional and mixed-fractional CEV model. Journal of Computational and Applied…
In this paper a multi-factor generalization of Ho-Lee model is proposed. In sharp contrast to the classical Ho-Lee, this generalization allows for those movements other than parallel shifts, while it still is described by a recombining…
Canonical correlation analysis (CCA) has become a key tool for population neuroimaging, allowing investigation of associations between many imaging and non-imaging measurements. As other variables are often a source of variability not of…
This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to spread-based valuation for forward trades, which explains the…