相关论文: On Finite-dimensional Term Structure models
We classify the homogeneous finite-dimensional permutation structures, i.e., homogeneous structures in a language of finitely many linear orders, giving a nearly complete answer to a question of Cameron, and confirming the classification…
Automorphisms of finite order and real forms of "smooth" affine Kac-Moody algebras are studied, i.e. of 2-dimensional extensions of the algebra of smooth loops in a simple Lie algebra. It is shown that they can be parametrized by certain…
The problem of existence of solution for the Heath-Jarrow-Morton equation with linear volatility and purely jump random factor is studied. Sufficient conditions for existence and non-existence of the solution in the class of bounded fields…
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.…
This paper considers the single factor Heath-Jarrow-Morton model for the interest rate curve with stochastic volatility. Its natural formulation, described in terms of stochastic differential equations, is solved through Monte Carlo…
We address nonautonomous initial boundary value problems for decoupled linear first-order one-dimensional hyperbolic systems, investigating the phenomenon of finite time stabilization. We establish sufficient and necessary conditions…
This paper introduces a short rate model in continuous time that adds one or more memory (delay) components to the Merton model (Merton 1970, 1973) or the Vasi\v{c}ek model (Vasi\v{c}ek 1977) for the short rate. The distribution of the…
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.…
This article presents a systematic methodology for modeling a class of flexible multidimensional mechanical structures defined by linear elastic relations that directly allows to obtain their infinite-dimensional port-Hamiltonian…
We propose a general framework for modeling multiple yield curves which have emerged after the last financial crisis. In a general semimartingale setting, we provide an HJM approach to model the term structure of multiplicative spreads…
The first part of this dissertation defines "dependently typed algebraic theories", which are a strict subclass of the generalised algebraic theories (GATs) of Cartmell. We characterise dependently typed algebraic theories as finitary…
We define a new finite type invariant for stably homeomorphic class of curves on compact oriented surfaces without boundaries and extend to a regular homotopy invariant for spherical curves.
In this article we study homotopes of finite-dimensional algebras (not necessarily, associative). In the case of associative algebras we study homotopes by methods of Category theory and give description of so-called well-tempered elements…
Hamiltonian structures for spatially compact locally homogeneous vacuum universes are investigated, provided that the set of dynamical variables contains the \Teich parameters, parameterizing the purely global geometry. One of the key…
We propose a two-step procedure to model and predict high-dimensional functional time series, where the number of function-valued time series $p$ is large in relation to the length of time series $n$. Our first step performs an…
We develop the theory of geometric Eisenstein series and constant term functors for $\ell$-adic sheaves on stacks of bundles on the Fargues-Fontaine curve. In particular, we prove essentially optimal finiteness theorems for these functors,…
Affine deformations serve as basic examples in the continuum mechanics of deformable 3-dimensional bodies (referred as homogeneous deformations). They preserve parallelism and are often used as an approximation to general deformations.…
A finite set can be supplied with a group structure which can then be used to select (classes of) differential calculi on it via the notions of left-, right- and bicovariance. A corresponding framework has been developed by Woronowicz, more…
We introduce novel finite element schemes for curve diffusion and elastic flow in arbitrary codimension. The schemes are based on a variational form of a system that includes a specifically chosen tangential motion. We derive optimal $L^2$-…
One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain period, while the classical forward is a financial agreement…