相关论文: LIBOR Interpolation and the HJM Model
The simplest way to obtain continuous interpolation between two points in high dimensional space is to draw a line between them. While previous works focused on the general connectivity between model parameters, we explored linear…
As a generalization of Hausdorff's extension theorem of metrics, we prove an interpolation theorem of a family of metrics defined on closed subsets of metrizable spaces. As an application, we investigate typicality of subsets of moduli…
In this paper we establish the interpolatory model reduction framework for optimal approximation of MIMO dynamical systems with respect to the $\mathcal{H}_2$ norm over a finite-time horizon, denoted as the $\mathcal{H}_2(t_f)$ norm. Using…
We establish an explicit $L^\infty(\Om)$ a priori estimate for weak solutions to subcritical elliptic problems with nonlinearity on the boundary, in terms of the powers of their $H^1(\Om)$ norms. To prove our result, we combine in a novel…
We consider a market with a term structure of credit risky bonds in the single-name case. We aim at minimal assumptions extending existing results in this direction: first, the random field of forward rates is driven by a general…
We provide a general HJM framework for forward contracts written on abstract market indices with arbitrary fixing and payment adjustments, and featuring collateralization in any currency denominations. In view of this, we first provide a…
This paper applies a recurrent neural network, the LSTM, to forecast inflation. This is an appealing model for time series as it processes each time step sequentially and explicitly learns dynamic dependencies. The paper also explores the…
A Multiplicative-Exponential Linear Logic (MELL) proof-structure can be expanded into a set of resource proof-structures: its Taylor expansion. We introduce a new criterion characterizing those sets of resource proof-structures that are…
Overnight rates, such as the SOFR (Secured Overnight Financing Rate) in the US, are central to the current reform of interest rate benchmarks. A striking feature of overnight rates is the presence of jumps and spikes occurring at…
Mixup refers to interpolation-based data augmentation, originally motivated as a way to go beyond empirical risk minimization (ERM). Yet, its extensions focus on the definition of interpolation and the space where it takes place, while the…
A Multiplicative-Exponential Linear Logic (MELL) proof-structure can be expanded into a set of resource proof-structures: its Taylor expansion. We introduce a new criterion characterizing (and deciding in the finite case) those sets of…
This paper explores the application of Hidden Markov Models (HMM) and Long Short-Term Memory (LSTM) neural networks for economic forecasting, focusing on predicting CPI inflation rates. The study explores a new approach that integrates…
Interior point methods (IPMs) are a common approach for solving linear programs (LPs) with strong theoretical guarantees and solid empirical performance. The time complexity of these methods is dominated by the cost of solving a linear…
In this paper, we present own point of view how the unexpected fluctuations of the long-term real interest rate can be explained. We describe a macroeconomic environment by the modification of the fundamental macroeconomic equilibrium model…
This paper introduces an interpolation-based method, called the reconstruction approach, for nonparametric regression. Based on the fact that interpolation usually has negligible errors compared to statistical estimation, the reconstruction…
In this paper we investigate polynomial interpolation using orthogonal polynomials. We use weight functions associated with orthogonal polynomials to define a weighted form of Lagrange interpolation. We introduce an upper bound of error…
An advantageous feature of piecewise constant policy timestepping for Hamilton-Jacobi-Bellman (HJB) equations is that different linear approximation schemes, and indeed different meshes, can be used for the resulting linear equations for…
When interest rate dynamics are described by the Libor Market Model as in BGM97, we show how some essential risk-management results can be obtained from the dual of the calibration program. In particular, if the objetive is to maximize…
The effort to generate matrix exponentials and associated differentials, required to determine the time evolution of quantum systems, frequently constrains the evaluation of problems in quantum control theory, variational circuit…
An extension of Marcinkiewicz Interpolation Theorem, allowing intermediate spaces of Orlicz type, is proved. This generalization yields a necessary and sufficient condition so that every quasilinear operator, which maps the set, $S(X,\mu)$,…