相关论文: Ab initio yield curve dynamics

We construct continuous-time equilibrium models based on a finite number of exponential utility investors. The investors' income rates as well as the stock's dividend rate are governed by discontinuous Levy processes. Our main result…

We study the flow of an incompressible liquid film down a wavy incline. Applying a Galerkin method with only one ansatz function to the Navier-Stokes equations we derive a second order weighted residual integral boundary layer equation,…

We propose a stochastic volatility model for time series of curves. It is motivated by dynamics of intraday price curves that exhibit both between days dependence and intraday price evolution. The curves are suitably normalized to…

The Nitsche method is a method of "weak imposition" of the inhomogeneous Dirichlet boundary conditions for partial differential equations. This paper explains stability and convergence study of the Nitsche method applied to evolutionary…

We consider the flow of multiple particles in a Bingham fluid in an anti-plane shear flow configuration. The limiting situation in which the internal and applied forces balance and the fluid and particles stop flowing, that is, when the…

We propose three iterative methods for solving the Moser-Veselov equation, which arises in the discretization of the Euler-Arnold differential equations governing the motion of a generalized rigid body. We start by formulating the problem…

We prove the contraction property for two successive loops of the adaptive algorithm for the Stokes problem reducing the error of the velocity. The problem is discretized by a divergence-conforming discontinuous Galerkin method which…

We present a semi-static hedging algorithm for callable interest rate derivatives under an affine, multi-factor term-structure model. With a traditional dynamic hedge, the replication portfolio needs to be updated continuously through time…

A new class of integro-partial differential equation models is derived for the prediction of granular flow dynamics. These models are obtained using a novel limiting averaging method (inspired by techniques employed in the derivation of…

We analyze the problem of the analytical characterization of the probability distribution of financial returns in the exponential Ornstein-Uhlenbeck model with stochastic volatility. In this model the prices are driven by a Geometric…

The term structure of interest rates (yield curve) is a critical facet of financial analytics, impacting various investment and risk management decisions. It is used by the central bank to conduct and monitor its monetary policy. That…

Motivated by considering partial differential equations arising from conservation laws posed on evolving surfaces, a new numerical method for an advection problem is developed and simple numerical tests are performed. The method is based on…

We provide a complete representation of the interest rate in the extended CIR model. Since it was proved in Maghsoodi (1996) that the representation of the CIR process as a sum of squares of independent Ornstein-Uhlenbeck processes is…

For the multi-mode Dicke model in a transport setting that exhibits collective boson transmissions, we construct the equation of motion for the cumulant generating function. Approximating the exact system of equations at the level of…

We present a mathematical framework within which Discrete Dislocation Dynamics in three dimensions is well-posed. By considering smooth distributions of slip, we derive a regularised energy for curved dislocations, and rigorously derive the…

For fourth-order geometric evolution equations for planar curves with the dissipation of the bending energy, including the Willmore and the Helfrich flows, we consider a numerical approach. In this study, we construct a structure-preserving…

This paper is concerned with a posteriori error bounds for linear transport equations and related questions of contriving corresponding adaptive solution strategies in the context of Discontinuous-Petrov-Galerkin schemes. After indicating…

We present a framework enabling variational data assimilation for gradient flows in general metric spaces, based on the minimizing movement (or Jordan-Kinderlehrer-Otto) approximation scheme. After discussing stability properties in the…

A numerical method based on the hybridizable discontinuous Galerkin method in space and backward Euler in time is formulated and analyzed for solving the miscible displacement problem. Under low regularity assumptions, convergence is…

We introduce a multiple curve framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. Negatives rates and positive spreads can also be accommodated in this framework. The…