Related papers: Generalizations of Ho-Lee's binomial interest rate…
We investigate LIBOR-based derivatives using a parsimonious field theory interest rate model capable of instilling imperfect correlation between different maturities. Delta and Gamma hedge parameters are derived for LIBOR Caps against…
The Convolution and Master equations governing the time behavior of the term structure of Interest Rates are set up both for continuous variables and for their discretised forms. The notion of Seed is introduced. The discretised theoretical…
We investigate generalized derivations of $n$-BiHom-Lie algebras. We introduce and study properties of derivations, $( \alpha^{s},\beta^{r}) $-derivations and generalized derivations. We also study quasiderivations of $n$-BiHom-Lie…
We initiate a study on a range of new generalized derivations of finite-dimensional Lie algebras over an algebraically closed field of characteristic zero. This new generalization of derivations has an analogue in the theory of associative…
This paper considers the problem of robustly estimating the parameters of a heavy-tailed multivariate distribution when the covariance matrix is known to have the structure of a low-rank matrix plus a diagonal matrix as considered in factor…
While we are usually focused on forecasting future values of time series, it is often valuable to additionally predict their entire probability distributions, e.g. to evaluate risk, Monte Carlo simulations. On example of time series of…
In the option valuation literature, the shortcomings of one factor stochastic volatility models have traditionally been addressed by adding jumps to the stock price process. An alternate approach in the context of option pricing and…
The behavior of factorization properties in various ring extensions is a central theme in commutative algebra. Classically, the UFDs are (completely) integrally closed and tend to behave well in standard ring extensions, with the notable…
In this article, we quantify the functional convergence of the rescaled random walk with heavy tails to a stable process.This generalizes the Generalized Central Limit Theorem for stable random variables infinite dimension. We show that…
This paper proposes a general modeling framework that allows for uncertainty quantification at the individual covariate level and spatial referencing, operating withing a double generalized linear model (DGLM). DGLMs provide a general…
Bi-factor and second-order models based on copulas are proposed for item response data, where the items can be split into non-overlapping groups such that there is a homogeneous dependence within each group. Our general models include the…
This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of forward rates driven by infinitely many Brownian motions and…
The slow-roll inflation paradigm can be systematically generalized within the framework of non-standard entropy formalisms, giving rise to a broad class of inflationary models that deviate from the conventional Bekenstein--Hawking case. We…
In this paper, we set up the theoretical foundations for a high-dimensional functional factor model approach in the analysis of large cross-sections (panels) of functional time series (FTS). We first establish a representation result…
We provide a unified framework for modeling LIBOR rates using general semimartingales as driving processes and generic functional forms to describe the evolution of the dynamics. We derive sufficient conditions for the model to be…
In this paper, we assume an insure is allowed to purchase proportional reinsurance and can invest his or her wealth into the financial market where a savings account, stocks and bonds are available. Different from classical optimal…
We propose a simple yet powerful extension of Bayesian Additive Regression Trees which we name Hierarchical Embedded BART (HE-BART). The model allows for random effects to be included at the terminal node level of a set of regression trees,…
Levy-Loewner evolution (LLE) is a generalization of the Schramm-Loewner evolution (SLE) where the branching is possible in a course of growth process. We consider a class of radial Levy-Loewner evolutions for which sets of points of the…
Latent factor model estimation typically relies on either using domain knowledge to manually pick several observed covariates as factor proxies, or purely conducting multivariate analysis such as principal component analysis. However, the…
In this article, a generalized version of Negative binomial-beta exponential distribution with five parameters have been introduced. Some interesting submodels have been derived from it. A comprehensive mathematical treatment of proposed…