相关论文: LIBOR Interpolation and the HJM Model

Based on the recent indications of integrability in the planar ABJ model, we conjecture an exact expression for the interpolating function h(\lambda_1,\lambda_2) in this theory. Our conjecture is based on the observation that the…

According to the definition of the London Interbank Offered Rate (LIBOR), contributing banks should give fair estimates of their own borrowing costs in the interbank market. Between 2007 and 2009, several banks made inappropriate…

Function approximation from input and output data is one of the most investigated problems in signal processing. This problem has been tackled with various signal processing and machine learning methods. Although tensors have a rich history…

In this paper, we present an alternative perspective on the mean-field LIBOR market model introduced by Desmettre et al. in arXiv:2109.10779. Our novel approach embeds the mean-field model in a classical setup, but retains the crucial…

As large language models (LLMs) have gained popularity for a variety of use cases, making them adaptable and controllable has become increasingly important, especially for user-facing applications. While the existing literature on LLM…

We provide a general and flexible approach to LIBOR modeling based on the class of affine factor processes. Our approach respects the basic economic requirement that LIBOR rates are non-negative, and the basic requirement from mathematical…

The main result of this paper that a martingale evolution can be chosen for Libor such that all the Libor interest rates have a common market measure; the drift is fixed such that each Libor has the martingale property. Libor is described…

Interest rate market models, like the LIBOR market model, have the advantage that the basic model quantities are directly observable in financial markets. Inflation market models extend this approach to inflation markets, where zero-coupon…

In this paper, we present an interpolation framework for structure-preserving model order reduction of parametric bilinear dynamical systems. We introduce a general setting, covering a broad variety of different structures for parametric…

We propose a multifractal model for short-term interest rates. The model is a version of the Markov-Switching Multifractal (MSM), which incorporates the well-known level effect observed in interest rates. Unlike previously suggested models,…

Interpolatory necessary optimality conditions for $\mathcal{H}_2$-optimal reduced-order modeling of unstructured linear time-invariant (LTI) systems are well-known. Based on previous work on $\mathcal{L}_2$-optimal reduced-order modeling of…

We establish the Lyndon interpolation property for basic lattice expansion logics (LE-logics) in arbitrary signatures using display calculi. Our approach is constructive, yielding interpolants algorithmically from derivations, and modular,…

In this text we review a few structural properties of matrix models that should at least partly generalize to random tensor models. We review some aspects of the loop equations for matrix models and their algebraic counterpart for tensor…

Hierarchical vector field interpolation introduces a structured probabilistic framework for lexical representation, ensuring that word embeddings transition smoothly across a continuous manifold rather than being constrained to discrete…

One approach to parametric and adaptive model reduction is via the interpolation of orthogonal bases, subspaces or positive definite system matrices. In all these cases, the sampled inputs stem from matrix sets that feature a geometric…

A prescription is presented for the interpolation between multi-dimensional distribution templates based on one or multiple model parameters. The technique uses a linear combination of templates, each created using fixed values of the…

Multilinear interpolation is a powerful tool used in obtaining strong type boundedness for a variety of operators assuming only a finite set of restricted weak-type estimates. A typical situation occurs when one knows that a multilinear…

We propose an iterative estimating equations procedure for analysis of longitudinal data. We show that, under very mild conditions, the probability that the procedure converges at an exponential rate tends to one as the sample size…

We present a new model-based interpolation procedure for satisfiability modulo theories (SMT). The procedure uses a new mode of interaction with the SMT solver that we call solving modulo a model. This either extends a given partial model…

We consider the theory of bond discounts, defined as the difference between the terminal payoff of the contract and its current price. Working in the setting of finite-dimensional realizations in the HJM framework, under suitable notions of…