相关论文: Generalizations of Ho-Lee's binomial interest rate…

We formulate a forward inflation index model with multi-factor volatility structure featuring a parametric form that allows calibration to correlations between indices of different tenors observed in the market. Assuming the nominal…

Factorization models express a statistical object of interest in terms of a collection of simpler objects. For example, a matrix or tensor can be expressed as a sum of rank-one components. However, in practice, it can be challenging to…

Modeling correlation (and covariance) matrices can be challenging due to the positive-definiteness constraint and potential high-dimensionality. Our approach is to decompose the covariance matrix into the correlation and variance matrices…

We propose a multi-factor polynomial framework to model and hedge long-term electricity contracts with delivery period. This framework has several advantages: the computation of forwards, risk premium and correlation between different…

This paper studies high-dimensional curve time series with common stochastic trends. A dual functional factor model structure is adopted with a high-dimensional factor model for the observed curve time series and a low-dimensional factor…

We extend the classical Cox-Ross-Rubinstein binomial model in two ways. We first develop a binomial model with time-dependent parameters that equate all moments of the pricing tree increments with the corresponding moments of the increments…

The recently discovered formalism underlying renormalization theory, the Hopf algebra of rooted trees, allows to generalize Chen's lemma. In its generalized form it describes the change of a scale in Green functions, and hence relates to…

The purpose of this paper is to study the generalized Fong--Vasicek two-factor interest rate model with stochastic volatility. In this model the dispersion of the stochastic short rate (square of volatility) is assumed to be stochastic as…

In this paper, we consider the nonstationary matrix-valued time series with common stochastic trends. Unlike the traditional factor analysis which flattens matrix observations into vectors, we adopt a matrix factor model in order to fully…

We present a HJM approach to the projection of multiple yield curves developed to capture the volatility content of historical term structures for risk management purposes. Since we observe the empirical data at daily frequency and only for…

This paper introduces a new biased estimator for the negative binomial regression model that is a generalization of Liu-type estimator proposed for the linear model in [12]. Since the variance of the maximum likelihood estimator (MLE) is…

In the framework of Lie transform and the global method of averaging, the normal forms of a multidimensional slow-fast Hamiltonian system are studied in the case when the flow of the unperturbed (fast) system is periodic and the induced…

The variance--covariance matrix plays a central role in the inferential theories of high-dimensional factor models in finance and economics. Popular regularization methods of directly exploiting sparsity are not directly applicable to many…

$\alpha$-stable distributions are utilised as models for heavy-tailed noise in many areas of statistics, finance and signal processing engineering. However, in general, neither univariate nor multivariate $\alpha$-stable models admit closed…

An advantageous feature of piecewise constant policy timestepping for Hamilton-Jacobi-Bellman (HJB) equations is that different linear approximation schemes, and indeed different meshes, can be used for the resulting linear equations for…

Hom-Lie superalgebras can be considered as the deformation of Lie superalgebras; which are $\mathbb{Z}_2$-graded generalization of Hom-Lie algebras. The motivation of this paper is to introduce the concept of isoclinism and factor set in…

We propose a wide class of preferential attachment models of random graphs, generalizing previous approaches. Graphs described by these models obey the power-law degree distribution, with the exponent that can be controlled in the models.…

In this paper we consider a stochastic model of perpetuity-type. In contrast to the classical affine perpetuity model of Kesten [12] and Goldie [8] all discount factors in the model are mutually independent. We prove that the tails of the…

Hoare and He's theory of reactive processes provides a unifying foundation for the formal semantics of concurrent and reactive languages. Though highly applicable, their theory is limited to models that can express event histories as…

Two-part models and Tweedie generalized linear models (GLMs) have been used to model loss costs for short-term insurance contract. For most portfolios of insurance claims, there is typically a large proportion of zero claims that leads to…