相关论文: Consistency conditions for affine term structure m…
A sufficient condition for the stability of a system resulting from the interconnection of dynamical systems is given by the small gain theorem. Roughly speaking, to apply this theorem, it is required that the gains composition is…
We prove Feynman-Kac formulas for solutions to elliptic and parabolic boundary value and obstacle problems associated with a general Markov diffusion process. Our diffusion model covers several popular stochastic volatility models, such as…
In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest…
Multivariate extreme value theory assumes a multivariate domain of attraction condition for the distribution of a random vector. This necessitates that each component satisfies a marginal domain of attraction condition. An approximation of…
We theoretically explore boundary conditions for lattice Boltzmann methods, focusing on a toy two-velocities scheme to tackle a linear one-dimensional advection equation. By mapping lattice Boltzmann schemes to Finite Difference schemes, we…
We propose a general framework for the simultaneous modeling of equity, government bonds, corporate bonds and derivatives. Uncertainty is generated by a general affine Markov process. The setting allows for stochastic volatility, jumps, the…
Discount is the difference between the face value of a bond and its present value. I propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath--Jarrow--Morton framework for forward rates. I…
We prove continuity of certain cost functions arising from optimal control of affine control systems. We give sharp sufficient conditions for this continuity. As an application, we prove a version of weak KAM theorem and consider the…
The purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and marginal utility of aggregate optimal consumption. For such…
As is well known, the non-Gaussianity parameter $f_{_{\rm NL}}$, which is often used to characterize the amplitude of the scalar bi-spectrum, can be expressed completely in terms of the scalar spectral index $n_{\rm s}$ in the squeezed…
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.…
In the present paper we fill an essential gap in the Convertible Bonds pricing world by deriving a Binary Tree based model for valuation subject to credit risk. This model belongs to the framework known as Equity to Credit Risk. We show…
We consider a class of parametrically forced Hamiltonian systems with one-and-a-half degrees of freedom and study the stability of the dynamics when the frequency of the forcing is relatively high or low. We show that, provided the…
The analytical tractability of affine (short rate) models, such as the Vasicek and the Cox-Ingersoll-Ross models, has made them a popular choice for modelling the dynamics of interest rates. However, in order to account properly for the…
The classical approach in finance attempts to model the term structure of interest rates using specified stochastic processes and the no arbitrage argument. Up to now, no universally accepted theory has been obtained for the description of…
At first, we solve a problem of finding a risk-minimizing hedging strategy on a general market with ratings. Next, we find a solution to this problem on Markovian market with ratings on which prices are influenced by additional factors and…
Financial institutions face a trade-off between predictive accuracy and interpretability when deploying machine learning models for credit risk. Monotonicity constraints align model behavior with domain knowledge, but their performance cost…
In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation…
The assessment of monotone dependence between random variables $X$ and $Y$ is a classical problem in statistics and a gamut of application domains. Consequently, researchers have sought measures of association that are invariant under…
The quantum adiabatic theorem states that if a quantum system starts in an eigenstate of the Hamiltonian, and this Hamiltonian varies sufficiently slowly, the system stays in this eigenstate. We investigate experimentally the conditions…