Related papers: Ab initio yield curve dynamics
We consider the numerical integration of moving boundary problems with the curve-shortening property, such as the mean curvature flow and Hele-Shaw flow. We propose a fully discrete curve-shortening polygonal evolution law. The proposed…
The term structure of interest rates or yield curve is a function relating the interest rate with its own term. Nonlinear regression models of Nelson-Siegel and Svensson were used to estimate the yield curve using a sample of historical…
We derive a variational model to fit a composite B\'ezier curve to a set of data points on a Riemannian manifold. The resulting curve is obtained in such a way that its mean squared acceleration is minimal in addition to remaining close the…
Solutions of certain partial differential equations (PDEs) are often represented by the steepest descent curves of corresponding functionals. Minimizing movement scheme was developed in order to study such curves in metric spaces.…
Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their initial forward rate curve can be adjusted to…
In this survey paper we discuss recent advances on short interest rate models which can be formulated in terms of a stochastic differential equation for the instantaneous interest rate (also called short rate) or a system of such equations…
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than…
This paper concerns the reconstruction of a scalar coefficient of a second-order elliptic equation in divergence form posed on a bounded domain from internal data. This theory finds applications in multi-wave imaging, greedy methods to…
The stress-strain curves of most metallic alloys are often described using the relatively simple Ramberg-Osgood relationship. Whilst this description captures the overall stress-strain curve under monotonic tensile loading with reasonable…
We present a function-valued stochastic volatility model designed to capture the continuous-time evolution of forward curves in fixed-income or commodity markets. The dynamics of the (logarithmic) forward curves are defined by a…
We introduce a Vasicek-type short rate model which has two additional parameters representing memory effect. This model presents better results in yield curve fitting than the classical Vasicek model. We derive closed-form expressions for…
An interior penalty discontinuous Galerkin method is devised to approximate minimizers of a linear folding model by discontinuous isoparametric finite element functions that account for an approximation of a folding arc. The numerical…
The problem of existence of solution for the Heath-Jarrow-Morton equation with linear volatility and purely jump random factor is studied. Sufficient conditions for existence and non-existence of the solution in the class of bounded fields…
Self-propelled colloidal swimmers move by pushing the adjacent fluid backwards. The resulting motion of an asymmetric body depends on the profile of pushing velocity over its surface. We describe a method of predicting the motion arising…
We derive semi-analytic approximation formulae for bond and swaption prices in a Black-Karasi\'{n}ski interest rate model. Approximations are obtained using a novel technique based on the Karhunen-Lo\`{e}ve expansion. Formulas are easily…
A theoretical analysis of active motion on curved surfaces is presented in terms of a generalization of the Telegrapher's equation. Such generalized equation is explicitly derived as the polar approximation of the hierarchy of equations…
An explicit second-order numerical method to integrate the isokinetic equations of motion is derived by fitting circular arcs through every three consecutive points of the discretized trajectory, so that the tangent and the curvature…
The present works is focused on studying bifurcating solutions in compressible fluid dynamics. On one side, the physics of the problem is thoroughly investigated using high-fidelity simulations of the compressible Navier-Stokes equations…
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate…
An integro-differential equation, modeling dynamic fractional order viscoelasticity, with a Mittag-Leffler type convolution kernel is considered. A discontinuous Galerkin method, based on piecewise constant polynomials is formulated for…