相关论文: Consistency conditions for affine term structure m…

We present a spectral-theoretic approach to time-average statistical mechanics for general, non-equilibrium initial conditions. We consider the statistics of bounded, local additive functionals of reversible as well as irreversible ergodic…

The mean-field theory of Kinetically-Constrained-Models is developed by considering the Fredrickson-Andersen model on the Bethe lattice. Using certain properties of the dynamics observed in actual numerical experiments we derive asymptotic…

We revisit the problem of determining the real-frequency density response in quantum fluids via analytical continuation of imaginary-time quantum Monte Carlo data. We demonstrate that the average spectrum method (ASM) is capable of…

We propose a unifying framework for the pricing of debt securities under general time-inhomogeneous short-rate diffusion processes. The pricing of bonds, bond options, callable/putable bonds, and convertible bonds (CBs) is covered. Using…

In this paper we give sufficient conditions guaranteeing the validity of the well-known minimax theorem for the lower Snell envelope with respect to a family of absolutely continuous probability measures. Such minimax results play an…

Statistical fluctuation problems are faced by all quantum key distribution (QKD) protocols under finite-key condition. Most of the current statistical fluctuation analysis methods work based on independent random samples, however, the…

Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous,…

Stochastic contraction analysis is a recently developed tool for studying the global stability properties of nonlinear stochastic systems, based on a differential analysis of convergence in an appropriate metric. To date, stochastic…

We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market where trading is subject to proportional transaction cost and the asset price dynamic is modeled by a family of probability measures, possibly…

No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Well known models restrict the behavior of the market price of…

In this paper, we study term structure movements in the spirit of Heath, Jarrow, and Morton [Econometrica 60(1), 77-105] under volatility uncertainty. We model the instantaneous forward rate as a diffusion process driven by a G-Brownian…

In this paper we provide the characterization of all finite-dimensional Heath--Jarrow--Morton models that admit arbitrary initial yield curves. It is well known that affine term structure models with time-dependent coefficients (such as the…

This paper offers a new class of models of the term structure of interest rates. We allow each instantaneous forward rate to be driven by a different stochastic shock, constrained in such a way as to keep the forward rate curve continuous.…

This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing…

The adiabatic theorem provides sufficient conditions for the time needed to prepare a target ground state. While it is possible to prepare a target state much faster with more general quantum annealing protocols, rigorous results beyond the…

In a finite system driven out of equilibrium by a constant external force the thermodynamic uncertainty relation (TUR) bounds the variance of the conjugate current variable by the thermodynamic cost of maintaining the non-equilibrium…

We formulate a local picture of strongly correlated systems as a Feynman sum over atomic configurations. The hopping amplitudes between these atomic configurations are identified as the renormalization group charges, which describe the…

We investigate connections between SAT (the propositional satisfiability problem) and combinatorics, around the minimum degree (number of occurrences) of variables in various forms of redundancy-free boolean conjunctive normal forms…

The purpose of this paper is to study the generalized Fong--Vasicek two-factor interest rate model with stochastic volatility. In this model the dispersion of the stochastic short rate (square of volatility) is assumed to be stochastic as…

We develop a recursive approach for deriving closed-form solutions to both conditional and unconditional moments of affine jump diffusions with state-independent jump intensities. Using these moment solutions, we construct closed-form…