Related papers: Generalizations of Ho-Lee's binomial interest rate…
In this paper, we extend the classical Ho-Lee binomial term structure model to the case of time-dependent parameters and, as a result, resolve a drawback associated with the model. This is achieved with the introduction of a more flexible…
The alternative version of Hamiltonian formalism for higher-derivative theories is proposed. As compared with the standard Ostrogradski approach it has the following advantages: (i) the Lagrangian, when expressed in terms of new variables…
A generalized Cahn-Hilliard model in a bounded interval of the real line with no-flux boundary conditions is considered. The label "generalized" refers to the fact that we consider a concentration dependent mobility, the $p$-Laplace…
We discuss a simple extension of the Ho and Lee model with generic time-dependent drift in which: 1) we compute bond prices analytically; 2) the yield curve is sensible and the asymptotic yield is positive; and 3) our analytical solution…
This manuscript proposes to extend the information set of time-series regression trees with latent stationary factors extracted via state-space methods. In doing so, this approach generalises time-series regression trees on two dimensions.…
Finding the hedge ratios for a portfolio and risk compression is the same mathematical problem. Traditionally, regression is used for this purpose. However, regression has its own limitations. For example, in a regression model, we can't…
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 derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochastic local volatility. First, we handle a case in which the drift is given as difference of two stochastic short rates. Such a setting is…
This paper introduces a high-dimensional binary variate model that accommodates nonstationary covariates and factors, and studies their asymptotic theory. This framework encompasses scenarios where single indices are nonstationary or…
Collateralization with daily margining has become a new standard in the post-crisis market. Although there appeared vast literature on a so-called multi-curve framework, a complete picture of a multi-currency setup with cross-currency basis…
A multi-factor extension of the Hobson and Rogers (HR) model, incorporating a quadratic variance function (QHR model), is proposed and analysed. The QHR model allows for greater flexibility in defining the moving average filter while…
The standard Hamiltonian machinery, being applied to field theory, leads to infinite-dimensional phase spaces. It is not covariant. In this article, we present covariant finite-dimensional multimomentum Hamiltonian formalism for field…
In this article, we introduce a two-way factor model for a high-dimensional data matrix and study the properties of the maximum likelihood estimation (MLE). The proposed model assumes separable effects of row and column attributes and…
In models like axion monodromy, temporal features during inflation which are not associated with its ending can produce scalar, and to a lesser extent, tensor power spectra where deviations from scale-free power law spectra can be as large…
The purpose of this paper is to extend the cohomology and conformal derivation theories of the classical Lie conformal algebras to Hom-Lie conformal algebras. In this paper, we develop cohomology theory of Hom-Lie conformal algebras and…
We propose a novel framework in high-dimensional factor models to simultaneously analyse multiple tensor time series, each with potentially different tensor orders and dimensionality. The connection between different tensor time series is…
This article considers to model large-dimensional matrix time series by introducing a regression term to the matrix factor model. This is an extension of classic matrix factor model to incorporate the information of known factors or useful…
We present and investigate an extension of the classical random graph to a general class of inhomogeneous random graph models, where vertices come in different types, and the probability of realizing an edge depends on the types of its…
We develop a framework that systematically casts the solvability and uniqueness conditions of linearized geometric boundary-value problems into cohomological terms. The theory is designed to be applicable without assumptions on the…
Lee (2009) is a common approach to bound the average causal effect in the presence of selection bias, assuming the treatment effect on selection has the same sign for all subjects. This paper generalizes Lee bounds to allow the sign of this…