相关论文: Ab initio yield curve dynamics

This paper builds on recent developments of adaptive methods for linear transport equations based on certain stable variational formulations of Petrov-Galerkin type. The variational formulations allow us to employ meshes with cells of…

We have constructed one-phase quasi-periodic solutions of the curve equation induced by the mKdV equation. The solution is expressed in terms of the elliptic functions of Weierstrass. This solution can describe curve dynamics such as a…

We establish the existence of solutions to common noise McKean-Vlasov martingale problems for coefficients with low regularity. Our approach is able to handle the key challenge posed by drift coefficients that are discontinuous with respect…

We propose a projection-based model order reduction method for the solution of parameter-dependent dynamical systems. The proposed method relies on the construction of time-dependent reduced spaces generated from evaluations of the solution…

We show that a Galilean invariant version of fluid dynamics can be derived by the methods of statistical dynamics using Maxwell's balance equations. The basic equation is non-local, and might replace Boltzmann's equation if the latter turns…

We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Levy-type martingale subject to default. This class of models allows for local volatility, local default intensity, and a locally dependent…

We propose the model, which allows us to approximate fractional Levy noise and fractional Levy motion. Our model is based (i) on the Gnedenko limit theorem for an attraction basin of stable probability law, and (ii) on regarding fractional…

We write equations of motion for density variables that are equivalent to Newtons equations. We then propose a set of trial equations parameterised by two unknown functions to describe the exact equations. These are chosen to best fit the…

We link nonlinear manifold learning techniques for data analysis/compression with model reduction techniques for evolution equations with time scale separation. In particular, we demonstrate a `"nonlinear extension" of the POD-Galerkin…

In this article the error estimation of the moving least squares approximation is provided for functions in fractional order Sobolev spaces. The analysis presented in this paper extends the previous estimations and explains some unnoticed…

The paper is concerned with stochastic equations for the short rate process $R$ $$ dR(t)=F(R(t))dt+G(R(t-))dZ(t), $$ in the affine model of the bond prices. The equation is driven by a L\'evy martingale $Z$. It is shown that the discounted…

We present a reduced basis technique for long-time integration of parametrized incompressible turbulent flows. The new contributions are threefold. First, we propose a constrained Galerkin formulation that corrects the standard Galerkin…

We introduce a data-driven method for learning the equations of motion of mechanical systems directly from position measurements, without requiring access to velocity data. This is particularly relevant in system identification tasks where…

We study the geodesic motion in Godel's universe, using conserved quantities. We give a necessary and sufficient condition for curves to be geodesic curves in terms of conserved quantities, which can be computed from the initial values of…

In fixed income sector, the yield curve is probably the most observed indicator by the market for trading and fifinancing purposes. A yield curve plots interest rates across different contract maturities from short end to as long as 30…

We introduce a framework for Newton's flows in probability space with information metrics, named information Newton's flows. Here two information metrics are considered, including both the Fisher-Rao metric and the Wasserstein-2 metric. A…

We investigate the frequentist posterior contraction rate of nonparametric Bayesian procedures in linear inverse problems in both the mildly and severely ill-posed cases. A theorem is proved in a general Hilbert space setting under…

The paper is devoted to the numerical solution of elastoplastic constitutive initial value problems. An improved form of the implicit return-mapping scheme for nonsmooth yield surfaces is proposed that systematically builds on a…

We introduce a class of short-rate models that exhibit a ``higher for longer'' phenomenon. Specifically, the short-rate is modeled as a general time-homogeneous one-factor Markov diffusion on a finite interval. The lower endpoint is assumed…

New mathematical formulation of liquidity preference theory is suggested. On the base of comparison between suggested model and real prices paradoxical conclusion could be derived. The whole yield curve could be described only on the base…