相关论文: A Theory for the Term Structure of Interest Rates

The technique of Pad\'e Approximants, introduced in a previous work, is applied to extended recent data on the distribution of variations of interest rates compiled by the Federal Reserve System in the US. It is shown that new power laws…

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…

This note studies a certain stochastic evolution equation in the space of probability measures, including existence and uniqueness results. A solution of this equation gives rise, in a natural way, to an interest rate term structure model,…

We develop theory and applications of forward characteristic processes in discrete time following a seminal paper of Jan Kallsen and Paul Kr\"uhner. Particular emphasis is placed on the dynamics of volatility surfaces which can be easily…

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.…

It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current market environment with negative short interest rates.…

This paper is concerned with finite dimensional models for the entire term structure for energy futures. As soon as a finite dimensional set of possible yield curves is chosen, one likes to estimate the dynamic behaviour of the yield curve…

We present a family of models for the term structure of interest rates which describe the interest rate curve as a stochastic process in a Hilbert space. We start by decomposing the deformations of the term structure into the variations of…

We present compelling empirical evidence for a new interpretation of the Forward Rate Curve (FRC) term structure. We find that the average FRC follows a square-root law, with a prefactor related to the spot volatility, suggesting a…

We consider probability distributions with constant rate on partially ordered sets, generalizing distributions in the usual reliability setting that have constant failure rate. In spite of the minimal algebraic structure, there is a…

We propose a formulation of the term structure of interest rates in which the forward curve is seen as the deformation of a string. We derive the general condition that the partial differential equations governing the motion of such string…

The Secured Overnight Funding Rate (SOFR) is becoming the main Risk-Free Rate benchmark in US dollars, thus interest rate term structure models need to be updated to reflect the key features exhibited by the dynamics of SOFR and the forward…

The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…

Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and…

In sustained growth with random dynamics stationary distributions can exist without detailed balance. This suggests thermodynamical behavior in fast growing complex systems. In order to model such phenomena we apply both a discrete and a…

We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as for example the jumps of the term structures in…

Time series prediction is a widespread and well studied problem with applications in many domains (medical, geoscience, network analysis, finance, econometry etc.). In the case of multivariate time series, the key to good performances is to…

Fixed income markets share many features with the equity markets. However there are significant differences as well and many attempts have been done in the past to develop specific tools which describe (and possibly forecasts) the behavior…

A first-principles theory is developed for the general evolution of a key structural characteristic of planar granular systems - the cell order distribution. The dynamic equations are constructed and solved in closed form for a number of…

The subject of this paper is the evolution of the concept of information processing in regular structures based on multi-level processing in nested cellular automata. The essence of the proposed model is a discrete space-time containing…