相关论文: Ab initio yield curve dynamics

We investigate the general problem of how to model the kinematics of stock prices without considering the dynamical causes of motion. We propose a stochastic process with long-range correlated absolute returns. We find that the model is…

We consider a finite element approximation for a system consisting of the evolution of a closed planar curve by forced curve shortening flow coupled to a reaction-diffusion equation on the evolving curve. The scheme for the curve evolution…

The Fourier-based analysis customarily employed to analyze the dynamics of a simple pendulum is here revisited to propose an elementary iterative scheme aimed at generating a sequence of analytical approximants of the exact law of motion.…

We discuss a semi-implicit numerical scheme that allows for minimizing the bending energy of curves within certain isotopy classes. To this end we consider a weighted sum of the bending energy and the tangent-point functional. Based on…

We use a concept of weak asymptotic solution for homogeneous as well as non-homogeneous fractional advection dispersion type equations. Using Legendre scaling functions as basis, a numerical method based on Galerkin approximation is…

A calculational approach in fluid turbulence is presented. Use is made of the attracting nature of the fluid-dynamic dynamical system. An approximate approach is offerred that effectively propagates the statistics in time. Loss of…

We present a framework on how to hedge the interest rate sensitivity of liabilities discounted by an extrapolated yield curve. The framework is based on functional analysis in that we consider the extrapolated yield curve as a functional of…

A modelling of low-frequency sound propagation in slowly varying ducts with smoothly varying lining is proposed leading to an acoustic mild-slope equation analogue to the with mild-slope equation for water waves. This simple 1D Mild Slope…

We give a unified proof for the well-posedness of a class of linear half-space equations with general incoming data and construct a Galerkin method to numerically resolve this type of equations in a systematic way. Our main strategy in both…

The question of existence and properties of stationary solutions to Langevin equations driven by noise processes with stationary increments is discussed, with particular focus on noise processes of pseudo-moving-average type. On account of…

We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…

Stochastic evolution equations with compensated Poisson noise are considered in the variational approach with monotone and coercive coefficients. Here the Poisson noise is assumed to be time-homogeneous with $\sigma$-finite intensity…

This paper applies a discontinuous Galerkin finite element method to the Kelvin-Voigt viscoelastic fluid motion equations when the forcing function is in $L^\infty({\bf L}^2)$-space. Optimal a priori error estimates in $L^\infty({\bf…

We propose and analyze a finite element method for a semi-stationary Stokes system modeling compressible fluid flow subject to a Navier-slip boundary condition. The velocity (momentum) equation is approximated by a mixed finite element…

The phenomenology of the forward rate curve (FRC) can be accurately understood by the fluctuations of a stiff elastic string (Le Coz and Bouchaud, 2024). By relating the exogenous shocks driving such fluctuations to the surprises in the…

The letter considers non-isothermal fluid flows and revises simplifications of basic hydrodynamic equations for such flows arriving eventually to a generalization of the Oberbeck-Boussinesq approximation valid for arbitrary equation of…

The purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and marginal utility of aggregate optimal consumption. For such…

In this paper we develop a framework for discretely compounding interest rates which is based on the forward price process approach. This approach has a number of advantages, in particular in the current market environment. Compared to the…

We derive an explicit asymptotic approximation for the implied volatilities of Call options written on bonds assuming the short-rate is described by an affine short-rate model. For specific affine short-rate models, we perform numerical…

We consider the dynamics of a vortex sheet that evolves by the Birkhoff-Rott equations. The fluid evolution is understood as a weak solution of the incompressible Euler equations where the vorticity is given by a delta function on a curve…