相关论文: LIBOR Interpolation and the HJM Model

The structure of interstellar medium can be characterised at large scales in terms of its global statistics (e.g. power spectra) and at small scales by the properties of individual cores. Interest has been increasing in structures at…

We consider the problem of hedging a European interest rate contingent claim with a portfolio of zero-coupon bonds and show that an HJM type Markovian model driven by an infinite number of sources of randomness does not have some of the…

Time series observations can be seen as realizations of an underlying dynamical system governed by rules that we typically do not know. For time series learning tasks, we need to understand that we fit our model on available data, which is…

We show how changes in unitarity-preserving boundary conditions allow continuous interpolation among the Hilbert spaces of quantum mechanics on topologically distinct manifolds. We present several examples, including a computation of…

There is much interest in the Hierarchical Dirichlet Process Hidden Markov Model (HDP-HMM) as a natural Bayesian nonparametric extension of the traditional HMM. However, in many settings the HDP-HMM's strict Markovian constraints are…

This paper provides a method for improving tensor-based compositional distributional models of meaning by the addition of an explicit disambiguation step prior to composition. In contrast with previous research where this hypothesis has…

As deep neural networks continue to revolutionize various application domains, there is increasing interest in making these powerful models more understandable and interpretable, and narrowing down the causes of good and bad predictions. We…

Model merging, typically on Instruct and Thinking models, has shown remarkable performance for efficient reasoning. In this paper, we systematically revisit the simplest merging method that interpolates two weights directly. Particularly,…

We extend the study of \emph{melonic} quartic tensor models to models with arbitrary quartic interactions. This extension requires a new version of the loop vertex expansion using several species of intermediate fields and iterated…

Weighted bipolar argumentation frameworks offer a tool for decision support and social media analysis. Arguments are evaluated by an iterative procedure that takes initial weights and attack and support relations into account. Until…

Time series forecasting using historical data has been an interesting and challenging topic, especially when the data is corrupted by missing values. In many industrial problem, it is important to learn the inference function between the…

We present Monte Carlo-Euler methods for a weak approximation problem related to the Heath-Jarrow-Morton (HJM) term structure model, based on \Ito stochastic differential equations in infinite dimensional spaces, and prove strong and weak…

For model-based estimation methods, the modeling that is as close to reality as possible makes a vital estimation result. In simple applications, it is sufficient to model a system with a single state space model. However, there are…

The usual strategy for deducing the $\pi\mbox{--}\pi^\ast$ electronic energy (or optical bandgap) in a molecule with an "infinite" number of conjugated double bonds consists in fitting a function with some adjustable parameters to the…

The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the…

Given a set of snapshots from a temporal network we develop, analyze, and experimentally validate a so-called network interpolation scheme. Our method allows us to build a plausible, albeit random, sequence of graphs that transition between…

This report describes a new technique for inducing the structure of Hidden Markov Models from data which is based on the general `model merging' strategy (Omohundro 1992). The process begins with a maximum likelihood HMM that directly…

The paper gives a detailed presentation of a framework, embedded into the simply typed higher-order logic and aimed at the support of sound and structured reasoning about various properties of models of imperative programs with interleaved…

We introduce a first theory of price impact in presence of an interest-rates term structure. We explain how one can formulate instantaneous and transient price impact on bonds with different maturities, including a cross price impact that…

We study the interpolation group whose elements are suitable pairs of formal power series. This group has a faithful representation into infinite lower triangular matrices and carries thus a natural structure as a Lie group. The matrix…