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

An extension of the Heath--Jarrow--Morton model for the development of instantaneous forward interest rates with deterministic coefficients and Gaussian as well as L\'evy field noise terms is given. In the special case where the L\'evy…

How to reconcile the classical Heston model with its rough counterpart? We introduce a lifted version of the Heston model with n multi-factors, sharing the same Brownian motion but mean reverting at different speeds. Our model nests as…

While the original Ait-Sahalia interest rate model has been found considerable use as a model for describing time series evolution of interest rates, it may not possess adequate specifications to explain responses of interest rates to…

In this paper, a new general decomposition theory inspired from modular graph decomposition is presented. Our main result shows that, within this general theory, most of the nice algorithmic tools developed for modular decomposition are…

This paper analyzes the possibilities of using the generalized ridge regression to mitigate multicollinearity in a multiple linear regression model. For this purpose, we obtain the expressions for the estimated variance, the coefficient of…

If you tell a learning model that you prefer an alternative $a$ over another alternative $b$, then you probably expect the model to be monotone, that is, the valuation of $a$ increases, and that of $b$ decreases. Yet, perhaps surprisingly,…

Recently it has become clear that many technologies follow a generalized version of Moore's law, i.e. costs tend to drop exponentially, at different rates that depend on the technology. Here we formulate Moore's law as a correlated…

Modeling the time-varying covariance structures of high-dimensional variables is critical across diverse scientific and industrial applications; however, existing approaches exhibit notable limitations in either modeling flexibility or…

We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently typical multi-dimensional FX vanilla markets, while retaining the (semi)-analytical tractability typical of affine models…

In this research, methods of reducing a general periodic one-dimensional hopping model to a one- or two-state model, which keeps the basic properties of the original process, are discussed. This reduction also implies that, to some extent,…

Generalizing the classical matrix-tree theorem we provide a formula counting subgraphs of a given graph with a fixed 2-core. We use this generalization to obtain an analog of the matrix-tree theorem for the root system $D_n$ (the classical…

Latent factor models that integrate data from multiple sources/studies or modalities have garnered considerable attention across various disciplines. However, existing methods predominantly focus either on multi-study integration or…

We give a new improvement over Newton's method for root-finding, when the function in question is doubly differentiable. It generally exhibits faster and more reliable convergence. It can be also be thought of as a correction to Halley's…

The paper introduces a generalization for known probabilistic models such as log-linear and graphical models, called here multiplicative models. These models, that express probabilities via product of parameters are shown to capture…

The multinomial probit model is a typical statistical model for multiple-choice data applied in many research areas. When we are interested in some quantiles of relative utilities for understanding the distribution of these utilities, the…

We consider a general one-factor short rate model, in which the instantaneous interest rate is driven by a univariate diffusion with time independent drift and volatility. We construct recursive formula for the coefficients of the Taylor…

We present a Bayesian approach for modeling multivariate, dependent functional data. To account for the three dominant structural features in the data--functional, time dependent, and multivariate components--we extend hierarchical dynamic…

We propose a formulation of the term structure of interest rates in which the forward curve is seen as the deformation of a string. We derive the general condition that the partial differential equations governing the motion of such string…

The propose of this paper is to extend generalized representations of 3-Lie algebras to Hom-type algebras. We introduce the concept of generalized representation of multiplicative 3-Hom-Lie algebras, develop the corresponding cohomology…

We develop an estimation methodology for a factor model for high-dimensional matrix-valued time series, where common stochastic trends and common stationary factors can be present. We study, in particular, the estimation of (row and column)…