相关论文: On Finite-dimensional Term Structure models
Let G be a simple Lie group of real rank one, and S the ideal boundary of the corresponding symmetric space of noncompact type (H^n_R, H^n_C, H^n_H or H^2_O). We show the finiteness of the possible values of the secondary characteristic…
We study amorphous systems with completely random sites and find that, through constructing and exploring a concrete model Hamiltonian, such a system can host an exotic phase of topological amorphous metal in three dimensions. In contrast…
A finite-difference time-domain (FDTD) modelling of finite-size zero thickness space-time modulated Huygens' metasurfaces based on Generalized Sheet Transition Conditions (GSTCs), is proposed and numerically demonstrated. A typical…
We examine the shapes attainable by the forward- and yield-curve in the widely-used Svensson family, including the Nelson-Siegel and Bliss subfamilies. We provide a complete classification of all attainable shapes and partition the…
ATSM are widely applied for pricing of bonds and interest rate derivatives but the consistency of ATSM when the short rate, r, is unbounded from below remains essentially an open question. First, the standard approach to ATSM uses the…
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…
In this work we deal with the stochastic homogenization of the initial boundary value problems of monotone type. The models of monotone type under consideration describe the deformation behaviour of inelastic materials with a microstructure…
In affine term structure models the short rate is modelled as an affine transformation of a multi-dimensional square root process. Sufficient conditions to avoid negative volatility factors are the multivariate Feller conditions. We will…
We consider the Heath-Jarrow-Morton model of forward rates processes with linear volatility. The noise is either a Wiener or a pure jump Leevy process. We provide formulae for the forward rate processes, and discus the problem of their…
We study the multifractal analysis of self-similar measures arising from random homogeneous iterated function systems. Under the assumption of the uniform strong separation condition, we see that this analysis parallels that of the…
We continue our study on infinitesimal lifting properties of maps between locally noetherian formal schemes started in math.AG/0604241. In this paper, we focus on some properties which arise specifically in the formal context. In this vein,…
Let $X$ and $\mathfrak{a}$ be an affine scheme and (respectively) a finite-dimensional associative algebra over an algebraically-closed field $\Bbbk$, both equipped with actions by a linearly-reductive linear algebraic group $G$. We…
We investigate the structure and representation theory of finite-dimensional $\mathbb{Z}$-graded Lie algebras, including the corresponding root systems and Verma, irreducible, and Harish-Chandra modules. This extends the familiar theory for…
In this paper, we extend the classical Ho-Lee binomial term structure model to the case of time-dependent parameters and, as a result, resolve a drawback associated with the model. This is achieved with the introduction of a more flexible…
We show that a continuous local semiflow of $C^k$-maps on a finite-dimensional $C^k$-manifold M can be embedded into a local $C^k$-flow on M under some weak (necessary) assumptions. This result is applied to an open problem in [fil/tei:01].…
Accurate forecasting of zero coupon bond yields for a continuum of maturities is paramount to bond portfolio management and derivative security pricing. Yet a universal model for yield curve forecasting has been elusive, and prior attempts…
We propose a thermodynamically based approach for constructing effective rate-type constitutive relations describing finite deformations of metamaterials. The effective constitutive relations are formulated as \emph{second-order} in time…
I study definable sets in affine continuous logic. Let $T$ be an affine theory. After giving some general results, it is proved that if $T$ has a first order model, its extremal theory is a complete first order theory and first order…
We survey variety theory for modules of finite dimensional Hopf algebras, recalling some definitions and basic properties of support and rank varieties where they are known. We focus specifically on properties known for classes of examples…
We consider embedded, smooth curves in the plane which are either closed or asymptotic to two lines. We study their behaviour under curve shortening flow with a global forcing term. Firstly, we prove an analogue to Huisken's distance…