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We consider a number of generalizations of the $\beta$-extended MacMahon Master Theorem for a matrix. The generalizations are based on replacing permutations on multisets formed from matrix indices by partial permutations or derangements…
We study the Hull-White model for the term structure of interest rates in the presence of volatility uncertainty. The uncertainty about the volatility is represented by a set of beliefs, which naturally leads to a sublinear expectation and…
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…
The recent financial crisis has led to so-called multi-curve models for the term structure. Here we study a multi-curve extension of short rate models where, in addition to the short rate itself, we introduce short rate spreads. In…
Reduced-rank decompositions provide descriptions of the variation among the elements of a matrix or array. In such decompositions, the elements of an array are expressed as products of low-dimensional latent factors. This article presents a…
A linear multi-factor model is one of the most important tools in equity portfolio management. The linear multi-factor models are widely used because they can be easily interpreted. However, financial markets are not linear and their…
For single input single output systems, we give a refinement of the generalized chordal metric. Our metric is given in terms of coprime factorizations, but it coincides with the extension of Vinnicombe's nu-metric given in earlier work by…
We present a list of (1+1)-dimensional second-order evolution equations all connected via a proposed generalised hodograph transformation, resulting in a tree of equations transformable to the linear second-order autonomous evolution…
The paper investigates properties of generalized Hermite-type processes that arise in non-central limit theorems for integral functionals of long-range dependent random fields. The case of increasing multidimensional domain asymptotics is…
Several fundamental and closely interconnected issues related to factor models are reviewed and discussed: dynamic versus static loadings, rate-strong versus rate-weak factors, the concept of weakly common component recently introduced by…
Hermite subdivision schemes act on vector valued data that is not only considered as functions values in $\mathbb{R}^r$, but as consecutive derivatives, which leads to a mild form of level dependence of the scheme. Previously, we have…
We derive necessary and sufficient conditions for an Ore extension of a Hopf algebra to have a Hopf algebra structure of a certain type. This construction generalizes the notion of Hopf-Ore extension, called a generalized Hopf-Ore…
This paper offers a new class of models of the term structure of interest rates. We allow each instantaneous forward rate to be driven by a different stochastic shock, constrained in such a way as to keep the forward rate curve continuous.…
We propose a multivariate generative model to capture the complex dependence structure often encountered in business and financial data. Our model features heterogeneous and asymmetric tail dependence between all pairs of individual…
A cohomology theory, associated to a $n$-Lie algebra and a representation space of it, is introduced. It is observed that this cohomology theory is qualified to encode the generalized derivation extensions, and that it coincides, for $n=3$,…
This paper introduces Hom-type analogues of affine algebraic structures, termed Hom-affgebras. Extending Brzezi\'nski's theory of affgebras and the Hom-algebra framework developed by Hartwig-Larsson-Silvestrov, we define and study…
The infrared problem of the effective action in 2D is discussed in the framework of the Covariant Perturbation Theory. The divergences are regularised by a mass and the leading term is evaluated up to the third order of perturbation theory.…
We extend the now classic structural credit modeling approach of Black and Cox to a class of "two-factor" models that unify equity securities such as options written on the stock price, and credit products like bonds and credit default…
This paper proposes a class of parametric multiple-index time series models that involve linear combinations of time trends, stationary variables and unit root processes as regressors. The inclusion of the three different types of time…
Approximate Bayesian inference for neural networks is considered a robust alternative to standard training, often providing good performance on out-of-distribution data. However, Bayesian neural networks (BNNs) with high-fidelity…