相关论文: LIBOR Interpolation and the HJM Model

Collateralization with daily margining has become a new standard in the post-crisis market. Although there appeared vast literature on a so-called multi-curve framework, a complete picture of a multi-currency setup with cross-currency basis…

We consider an HJM model setting for Markov-chain modulated forward rates. The underlying Markov chain is assumed to induce regime switches on the forward curve dynamics. Our primary focus is on the interest rate and energy futures markets.…

Linear position interpolation helps pre-trained models using rotary position embeddings (RoPE) to extrapolate to longer sequence lengths. We propose using linear position interpolation to extend the extrapolation range of models using…

We study uniform interpolation and forgetting in the description logic ALC. Our main results are model-theoretic characterizations of uniform inter- polants and their existence in terms of bisimula- tions, tight complexity bounds for…

The aim of this thesis is to analyze and renovate few main-stream models on inflation derivatives. In the first chapter of the thesis, concepts of financial instruments and fundamental terms are introduced, such as coupon bond,…

The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A single yield curve is not sufficient any longer to describe…

Hybrid-excited electrical machines aim to combine the advantages of permanent magnet machines (high efficiency and torque density) with those of separately excited machines (ease of flux-weakening at high speed). These machines are of…

In this paper, the realization-free model approximation problem, as stated in \cite{mayo2007framework,beattie2012realization}, is revisited in the case where the interpolating model might be time-delay dependent. To this aim, the Loewner…

We develop a martingale approximation framework yielding quantitative maximal large deviations estimates for invertible dynamical systems. From suitable decay of correlations, we deduce these estimates and, as an application, we obtain…

In this technical report, we compare multiple reformulation techniques and solvers that can be used with the Julia package BilevelJuMP. We focus on the special case of Hyperparameter Tuning for Support Vector Regression. We describe a…

Working on the daily closing prices and logreturns, in this paper we deal with the use of Hidden Markov Models (HMMs) to forecast the price of the EUR/USD Futures. The aim of our work is to understand how the HMMs describe different…

Conventional models of matching markets assume that monetary transfers can clear markets by compensating for utility differentials. However, empirical patterns show that such transfers often fail to close structural preference gaps. This…

We extend Carleson's interpolation Theorem to sequences of matrices, by giving necessary and sufficient separation conditions for a sequence of matrices to be interpolating.

Hybrid logic extends modal logic with special propositions called nominals, each of which is true at only one state in a model. This enables us to describe some properties of binary relations, such as irreflexivity and anti-symmetry, which…

We study the entanglement structure of states dual to multiboundary wormhole geometries using tensor network models. Perfect and random tensor networks tiling the hyperbolic plane have been shown to provide good models of the entanglement…

In this paper, we extend the classical Ho-Lee binomial term structure model to the case of time-dependent parameters and, as a result, resolve a drawback associated with the model. This is achieved with the introduction of a more flexible…

The problem of existence of arbitrage free and monotone CDO term structure models is studied. Conditions for positivity and monotonicity of the corresponding Heath-Jarrow-Morton-Musiela equation for the $x$-forward rates with the use of the…

We bring an abstract model theory perspective to interpolation. We ask, what is the role of interpolation in the study of extensions of first order logic, such as infinitary logics, generalized quantifiers and higher order logics? The…

We develop a timeout based extension of propositional linear temporal logic (which we call TLTL) to specify timing properties of timeout based models of real time systems. TLTL formulas explicitly refer to a running global clock together…

The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured…