Related papers: Projecting the Forward Rate Flow onto a Finite Dim…
We propose a general framework for modeling multiple yield curves which have emerged after the last financial crisis. In a general semimartingale setting, we provide an HJM approach to model the term structure of multiplicative spreads…
We introduce a framework that allows to employ (non-negative) measure-valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how…
This paper introduces a short rate model in continuous time that adds one or more memory (delay) components to the Merton model (Merton 1970, 1973) or the Vasi\v{c}ek model (Vasi\v{c}ek 1977) for the short rate. The distribution of the…
This paper advances interest rate modeling in the post-LIBOR era by introducing rough stochastic volatility into the Forward Market Model (FMM). We establish a rigorous asymptotic expansion of swaption implied volatility, connecting the FMM…
Demographic projections of future mortality rates involve a high level of uncertainty and require stochastic mortality models. The current paper investigates forward mortality models driven by a (possibly infinite dimensional) Wiener…
We consider a generalization of the Heath Jarrow Morton model for the term structure of interest rates where the forward rate is driven by Paretian fluctuations. We derive a generalization of It\^{o}'s lemma for the calculation of a…
We develop $H$(div)-conforming mixed finite element methods for the unsteady Stokes equations modeling single-phase incompressible fluid flow. A projection method in the framework of the incremental pressure correction methodology is…
In this paper we provide the characterization of all finite-dimensional Heath--Jarrow--Morton models that admit arbitrary initial yield curves. It is well known that affine term structure models with time-dependent coefficients (such as the…
We develop an arbitrage-free deep learning framework for yield curve and bond price forecasting based on the Heath-Jarrow-Morton (HJM) term-structure model and a dynamic Nelson-Siegel parameterization of forward rates. Our approach embeds a…
For simulating incompressible flows by projection methods. it is generally accepted that the pressure-correction stage is the most time-consuming part of the flow solver. The objective of the present work is to develop a fast hybrid…
Stochastic differential equations projected onto manifolds occur in physics, chemistry, biology, engineering, nanotechnology and optimization, with interdisciplinary applications. Intrinsic coordinate stochastic equations on the manifold…
Objective: In this work, we propose a framework for differentiable forward and back-projector that enables scalable, accurate, and memory-efficient gradient computation for rigid motion estimation tasks. Methods: Unlike existing approaches…
The paper uses functional auto-regression to predict the dynamics of interest rate curve. It estimates the auto-regressive operator by extending methods of the reduced-rank auto-regression to the functional data. Such an estimation…
We study the optimal stopping problem of pricing an American Put option on a Zero Coupon Bond (ZCB) in the Musiela's parametrization of the Heath-Jarrow-Morton (HJM) model for forward interest rates. First we show regularity properties of…
We propose skewed stable random projections for approximating the pth frequency moments of dynamic data streams (0<p<=2), which has been frequently studied in theoretical computer science and database communities. Our method significantly…
We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the underlying forward price curves are modeled within the…
In mathematical finance, many derivatives from markets with frictions can be formulated as optimal control problems in the HJB framework. Analytical optimal control can result in highly nonlinear PDEs, which might yield unstable numerical…
The curve time series framework provides a convenient vehicle to accommodate some nonstationary features into a stationary setup. We propose a new method to identify the dimensionality of curve time series based on the dynamical dependence…
We present projection-based mixed finite element methods for the solution of the unsteady Brinkman equations for incompressible single-phase flow with fixed in space porous solid inclusions. At each time step the method requires the…
The two main approaches in credit risk are the structural approach pioneered in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull (1995) and in Artzner & Delbaen (1995). The goal of this article is to provide a…