相关论文: Modeling interest rate dynamics: an infinite-dimen…

We investigate the joint description of the interest-rate term stuctures of Italy and an AAA-rated European country by mean of a --here proposed-- correlated CIR-like bivariate model where one of the state variables is interpreted as a…

A discrete--dynamics model, which is specified solely in terms of the system's equilibrium structure, is defined for the density correlators of a simple fluid. This model yields results for the evolution of glassy dynamics which are…

This chapter focuses on variable maturation delay or, more precisely, on the mathematical description of a size-structured population consuming an unstructured resource. When the resource concentration is a known function of time, we can…

This paper contains a phenomenological description of the whole U.S. forward rate curve (FRC), based on an data in the period 1990-1996. We find that the average FRC (measured from the spot rate) grows as the square-root of the maturity,…

A probabilistic approach of computing geometric rate of convergence of stochastic processes is introduced in this paper. The goal is to quantitatively compute both upper and lower bounds of the exponential rate of convergence to the…

Pricing and hedging exotic options using local stochastic volatility models drew a serious attention within the last decade, and nowadays became almost a standard approach to this problem. In this paper we show how this framework could be…

The HEat modulated Infinite DImensional Heston (HEIDIH) model and its numerical approximation are introduced and analyzed. This model falls into the general framework of infinite dimensional Heston stochastic volatility models of (F.E.…

Fracture processes in heterogeneous materials comprise a large number of disordered spatial degrees of freedom, representing the dynamical state of a sample over the entire domain of interest. This complexity is usually modeled directly,…

We introduce here for the first time the long-term swap rate, characterised as the fair rate of an overnight indexed swap with infinitely many exchanges. Furthermore we analyse the relationship between the long-term swap rate, the long-term…

We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the…

We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochastic local volatility. First, we handle a case in which the drift is given as difference of two stochastic short rates. Such a setting is…

In this article, we consider a Markov-modulated model with jumps for short rate dynamics. We obtain closed formulas for the term structure and forward rates using the properties of the jump-telegraph process and the expectation hypothesis.…

We present an arbitrage-free non-parametric yield curve prediction model which takes the full (discretized) yield curve as state variable. We believe that absence of arbitrage is an important model feature in case of highly correlated data,…

In this paper, we study a family of stochastic volatility processes; this family features a mean reversion term for the volatility and a double CEV-like exponent that generalizes SABR and Heston's models. We derive approximated closed form…

Each elliptic curve can be embedded uniquely in the projective plane, up to projective equivalence. The hessian curve of the embedding is generically a new elliptic curve, whose isomorphism type depends only on that of the initial elliptic…

We rigorously prove the bifurcation of slow-moving pattern interfaces with general direction in a two-dimensional Swift-Hohenberg-type model close to a Turing instability for a large class of nonlinearities. These interfaces describe the…

Finite dimensional solutions to a class of stochastic partial differential equations are obtained extending the differential constraints method for deterministic PDE to the stochastic framework. A geometrical reformulation of the stochastic…

Many stochastic complex systems are characterized by the fact that their configuration space doesn't grow exponentially as a function of the degrees of freedom. The use of scaling expansions is a natural way to measure the asymptotic growth…

The two main approaches in credit risk are the structural approach pioneered in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull (1995) and in Artzner & Delbaen (1995). The goal of this article is to provide a…

Rate change calculations in the literature involve deterministic methods that measure the change in premium for a given policy. The definition of rate change as a statistical parameter is proposed to address the stochastic nature of the…