Related papers: Ab initio yield curve dynamics
We derive minimal discrete models of the Boltzmann equation consistent with equilibrium thermodynamics, and which recover correct hydrodynamics in arbitrary dimensions. A simple analytical procedure of constructing the equilibrium for the…
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary…
In this article, we consider a Markov-modulated model with jumps for short rate dynamics. We obtain closed formulas for the term structure and forward rates using the properties of the jump-telegraph process and the expectation hypothesis.…
For population systems modeled by age-structured hyperbolic partial differential equations (PDEs) that are bilinear in the input and evolve with a positive-valued infinite-dimensional state, global stabilization of constant yield set points…
A new multi-factor short rate model is presented which is bounded from below by a real-valued function of time. The mean-reverting short rate process is modeled by a sum of pure-jump Ornstein--Uhlenbeck processes such that the related bond…
We develop in this paper a generic Bayesian framework for the joint estimation of motion and recovery of missing data in a damaged video sequence. Using standard maximum a posteriori to variational formulation rationale, we derive generic…
We propose a least-squares method involving the recovery of the gradient and possibly the Hessian for elliptic equation in nondivergence form. As our approach is based on the Lax--Milgram theorem with the curl-free constraint built into the…
We show that the following geometric properties of the motion of discrete and continuous curves select integrable dynamics: i) the motion of the curve takes place in the N dimensional sphere of radius R, ii) the curve does not stretch…
The LIBOR market model is very popular for pricing interest rate derivatives, but is known to have several pitfalls. In addition, if the model is driven by a jump process, then the complexity of the drift term is growing exponentially fast…
We study the Bayesian inverse problem for inferring the log-normal slowness function of the eikonal equation given noisy observation data on its solution at a set of spatial points. We study approximation of the posterior probability…
A finite element approach to the elastic flow of a curve coupled with a diffusion equation on the curve is analysed. Considering the graph case, the problem is weakly formulated and approximated with continuous linear finite elements, which…
We derive equations of motion for poles of elliptic solutions to the B-version of the Kadomtsev-Petviashvili equation (BKP). The basic tool is the auxiliary linear problem for the Baker-Akhiezer function. We also discuss integrals of motion…
We devise an iterative scheme for numerically calculating dynamical two-point correlation functions in integrable many-body systems, in the Eulerian scaling limit. Expressions for these were originally derived in Ref. [1] by combining the…
Latent-variable energy-based models (LVEBMs) assign a single normalized energy to joint pairs of observed data and latent variables, offering expressive generative modeling while capturing hidden structure. We recast maximum-likelihood…
Zabrodin recently proposed a generalization of Dyson Brownian motion to a setting where the particles are confined to a smooth Jordan curve in the plane. In this paper, we discuss a rigorous construction of such a process on a rectifiable…
The equations in conservative form for nonlinear waves modeling on a liquid film flowing down a vertical plane have been investigated. It has been found that in the computational domain extended along the transverse axis the equations with…
We develop a modelling framework for multiple yield curves driven by continuous-state branching processes with immigration (CBI processes). Exploiting the self-exciting behavior of CBI jump processes, this approach can reproduce the…
We consider the semilinear stochastic heat equation perturbed by additive noise. After time-discretization by Euler's method the equation is split into a linear stochastic equation and a non-linear random evolution equation. The linear…
An efficient method to price bonds with optional sinking feature is presented. Such instruments equip their issuer with the option (but not the obligation) to redeem parts of the notional prior to maturity, therefore the future cash flows…
We consider the discretization of a semilinear damped wave equation arising, for instance, in the modeling of gas transport in pipeline networks. For time invariant boundary data, the solutions of the problem are shown to converge…