Related papers: Ab initio yield curve dynamics
We study a novel approach for the existence of solutions to an incompressible fluid-rigid body interaction problem in three dimensions. Our approach introduces an iteration based on a sequence of related problems posed on domains with…
We consider the numerical approximation of compressible flow in a pipe network. Appropriate coupling conditions are formulated that allow us to derive a variational characterization of solutions and to prove global balance laws for the…
Discrete mechanics is presented as an alternative to the equations of fluid mechanics, in particular to the Navier-Stokes equation. The derivation of the discrete equation of motion is built from the intuitions of Galileo, the principles of…
A Levy-driven Ornstein-Uhlenbeck process is proposed to model the evolution of the risk-free rate and default intensities for the purpose of evaluating option contracts on a credit index. Time evolution in credit markets is assumed to…
Numerous empirical proofs indicate the adequacy of the time discrete auto-regressive stochastic volatility models introduced by Taylor in the description of the log-returns of financial assets. The pricing and hedging of contingent products…
We prove the existence of nonnegative weak solutions to a class of second and fourth order nonautonomous nonlinear evolution equations with an explicitly time-dependent mobility function posed on the whole space $\mathbb{R}^d$, for…
We consider a new kinetic equation for systems with a multistep potential of interaction proposed by us recently in Physica A 234 (1996) 89. This potential consists of the hard sphere part and a system of attractive and repulsive walls.…
In this Thesis we first show how the shape of the Peierls barrier and its dependence on the applied loading can be extracted from the data obtained in atomistic studies at 0 K. We consider the Peierls barrier as a two-dimensional periodic…
Local volatility is an important quantity in option pricing, portfolio hedging, and risk management. It is not directly observable from the market; hence calibrations of local volatility models are necessary using observable market data.…
In this work we present an a posteriori error indicator for approximation schemes of Runge-Kutta-discontinuous-Galerkin type arising in applications of compressible fluid flows. The purpose of this indicator is not only for mesh adaptivity,…
We consider linear dynamical systems of ordinary differential equations or differential algebraic equations. Physical parameters are substituted by random variables for an uncertainty quantification. We expand the state variables as well as…
We investigate a generalized stochastic model with the property known as mean reversion, that is, the tendency to relax towards a historical reference level. Besides this property, the dynamics is driven by multiplicative and additive…
We derive the fluctuation dynamics of a probe in weak coupling with a "living" medium, modeled as particles undergoing an active Ornstein-Uhlenbeck dynamics. Nondissipative corrections to the fluctuation-dissipation relation are written out…
We present a derivation of a recently proposed theory for the time dependence of density fluctuations in stationary states of strongly interacting, athermal, self-propelled particles. The derivation consists of two steps. First, we start…
A new yield/damage function is proposed for modelling the inelastic behaviour of a broad class of pressure-sensitive, frictional, ductile and brittle-cohesive materials. The yield function allows the possibility of describing a transition…
We introduce a family of mixed methods and discontinuous Galerkin discretisations designed to numerically solve the Oseen equations written in terms of velocity, vorticity, and Bernoulli pressure. The unique solvability of the continuous…
The paper derives the dynamics of a financial market from basic mathematical principles. It models the market dynamics using independent stationary scalar diffusions, assumes the existence of its growth optimal portfolio (GOP), interprets…
In this paper, we argue that some of the most popular short-term interest models have to be revisited and modified to reflect current market conditions better. In particular, we propose a modification of the popular Black-Karasinski model,…
We introduce a nonparametric approach for estimating drift and diffusion functions in systems of stochastic differential equations from observations of the state vector. Gaussian processes are used as flexible models for these functions and…
The Boltzmann equation for excess Cooper pairs above T_c is derived in the framework of the time-dependent Ginzburg-Landau (TDGL) theory using Langevin's approach of the stochastic differential equation. The Newton dynamic equation for the…