相关论文: On Finite-dimensional Term Structure models

We consider a general conic mixed-binary set where each homogeneous conic constraint $j$ involves an affine function of independent continuous variables and an epigraph variable associated with a nonnegative function, $f_j$, of common…

Mathematical models with time dependent parameters are of great interest in financial Mathematics because they capture real life scenarios in the financial market. In this study, via the Lie group technique, we analyse evolution-type…

We discuss some finite homogeneous structures, addressing the question of universality of their automorphism groups. We also study the existence of so-called Kat\v{e}tov functors in finite categories of embeddings or homomorphisms.

In this paper, we initiate a study of motivic homotopy theory at infinity. We use the six functor formalism to give an intrinsic definition of the stable motivic homotopy type at infinity of an algebraic variety. Our main computational…

This paper investigates the asymptotic behavior of suitably time-modulated Hawkes processes with heavy-tailed kernels in a nearly unstable regime. We show that, under appropriate scaling, both the intensity processes and the rescaled Hawkes…

We explore various formality and finiteness properties in the differential graded algebra models for the Sullivan algebra of piecewise polynomial rational forms on a space. The 1-formality property of the space may be reinterpreted in terms…

Finite element methods provide accurate and efficient methods for the numerical solution of partial differential equations by means of restricting variational problems to finite-dimensional approximating spaces. However, they do not…

Discrete-time affine processes are widely used in finance and economics and encompass count, positive, and nonnegative-valued processes. This paper develops near-unit-root asymptotic theory for this class of models. Unlike linear AR(1)…

We study the term structure equation for single-factor models that predict nonnegative short rates. In particular, we show that the price of a bond or a bond option is the unique classical solution to a parabolic differential equation with…

We investigate the representations of the hyperalgebras associated to the map algebras $\mathfrak g\otimes \mathcal A$, where $\mathfrak g$ is any finite-dimensional complex simple Lie algebra and $\mathcal A$ is any associative commutative…

This study defines finite-type invariants for curves on surfaces and reveals the construction of these finite-type invariants for stable homeomorphism classes of curves on compact oriented surfaces without boundaries. These invariants are a…

We investigate the categories of finite-dimensional representations of multicurrent and multiloop hyperalgebras in positive characteristic, i.e., the hyperalgebras associated to the multicurrent algebras $\mathfrak…

Let k be a perfect field and A a finite dimensional k-algebra of finite global dimension (e.g. the path algebra of a finite quiver without oriented cycles). Making use of the recent theory of noncommutative motives, we prove that the value…

This paper proves existence of the long bond, long forward measure and long-term factorization of the stochastic discount factor (SDF) of Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) in Heath-Jarrow-Morton (HJM) models in the…

We provide an adaptive finite element approximation for a model of quasi-static crack growth in dimension two. The discrete setting consists of integral functionals that are defined on continuous, piecewise affine functions, where the…

We discuss a finite-plasticity model based on the symmetric tensor $P^T P$ instead of the classical plastic strain $P$. Such a model structure arises from assuming that the material behavior is invariant with respect to frame…

The recently proposed low degree-of-freedom model of Moffat and Kimura [1,2] for describing the approach to finite-time singularity of the incompressible Euler fluid equations is investigated. The model assumes an initial finite-energy…

Rough volatility models have gained considerable interest in the quantitative finance community in recent years. In this paradigm, the volatility of the asset price is driven by a fractional Brownian motion with a small value for the Hurst…

Main ideas of the differential geometry on affine bundles are presented. Affine counterparts of Lie algebroid and Poisson structures are introduced and discussed. The developed concepts are applied in a frame-independent formulation of the…

The main purpose of this paper is to obtain necessary and sufficient conditions under which a nonautonomous, finite-dimensional and two-sided dynamics generated by a sequence of matrices or a linear ODE exhibits Hyers-Ulam stability.…