A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study compares ZBDT model to BDT for financial derivatives valuation.
Modified BDT model includes zero rate jumps for crisis risk.
We consider the class of short rate interest rate models for which the short rate is proportional to the exponential of a Gaussian Markov process x(t) in the terminal measure r(t) = a(t) exp(x(t)). These models include the Black, Derman, Toy and Black, Karasinski models in the terminal measure. We show that such intere…
Study analyzes bond traders' views on equity market dynamics.