Related papers: On Finite-dimensional Term Structure models

A new model for elucidating the mathematical foundation of plasticity yield criteria is proposed. The proposed ansatz uses differential geometry and group theory concepts in addition to elementary hypotheses based on well-established…

In this article, we prove a rigidity criterion for period maps of admissible variations of graded-polarizable mixed Hodge structure, and establish rigidity in a number of cases, including families of quasi-projective curves, projective…

In this contribution we present how to obtain explicit state space models in port-Hamiltonian form when a mixed finite element method is applied to a linear mechanical system with non-uniform boundary conditions. The key is to express the…

This study develops an integrated stochastic modeling framework for pricing short and medium-maturity equity options and assessing interest-rate risk using the Heston (1993), Bates (1996), and CIR (1985) models. We calibrate the Heston…

We study finiteness properties, especially the noetherian property, the Krull dimension and a variation of finite presentation, in categories of polynomial functors from a small symmetric monoidal category whose unit is an initial object to…

The development of a nonlinear structural theory (model) for isotropic linear-elastic finite continua is the main objective of the study. To derive the theory, we used Taylor's multivariable expansion and Bubnov-Galerkin's weak formulation.…

We analyze the question of which motivic homotopy types admit smooth schemes as representatives. We show that given a pointed smooth affine scheme $X$ and an embedding into affine space, the affine deformation space of the embedding gives a…

We define and study the derived categories of the first kind for curved DG and A-infinity algebras complete over a pro-Artinian local ring with the curvature elements divisible by the maximal ideal of the local ring. We develop the Koszul…

We introduce a class of short-rate models that exhibit a ``higher for longer'' phenomenon. Specifically, the short-rate is modeled as a general time-homogeneous one-factor Markov diffusion on a finite interval. The lower endpoint is assumed…

We refine and advance the study of the local structure of idempotent finite algebras started in [A.Bulatov, The Graph of a Relational Structure and Constraint Satisfaction Problems, LICS, 2004]. We introduce a graph-like structure on an…

We start the general structure theory of not necessarily semisimple finite tensor categories, generalizing the results in the semisimple case (i.e. for fusion categories), obtained recently in our joint work with D.Nikshych. In particular,…

Pricing interest-rate financial derivatives is a major problem in finance, in which it is crucial to accurately reproduce the time-evolution of interest rates. Several stochastic dynamics have been proposed in the literature to model either…

Motivated by marginals-mimicking results for It\^o processes via SDEs and by their applications to volatility modeling in finance, we discuss the weak convergence of the law of a hypoelliptic diffusions conditioned to belong to a target…

A structure is called homogeneous if every isomorphism between finite substructures of the structure extends to an automorphism of the structure. Recently, P. J. Cameron and J. Ne\v{s}et\v{r}il introduced a relaxed version of homogeneity:…

Hereditarily finite (HF) set theory provides a standard universe of sets, but with no infinite sets. Its utility is demonstrated through a formalisation of the theory of regular languages and finite automata, including the Myhill-Nerode…

We consider fixed-point models for topological phases of matter formulated as discrete path integrals in the language of tensor networks. Such zero-correlation length models with an exact notion of topological invariance are known in the…

We introduce a second-order stochastic model to explore the variability in growth of biological shapes with applications to medical imaging. Our model is a perturbation with a random force of the Hamiltonian formulation of the geodesics.…

In this work, we obtain a short time solution for a geometric flow on noncompact affine Riemannian manifolds. Using this result, we can construct a Hessian metric with nonnegative bounded Hessian sectional curvature on some Hessian…

We discuss the Feferman-Vaught Theorem in the setting of abstract model theory for finite structures. We look at sum-like and product-like binary operations on finite structures and their Hankel matrices. We show the connection between…

We analyze infinite-dimensional Hamiltonian systems corresponding to partial differential equations on one-dimensional spatial domains formulated with formally skew-adjoint Hamiltonian operators and nonlinear Hamiltonian density. In various…