arXiv research

Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their initial forward rate curve can be adjusted to any observed data, as the Ho-Lee and the Hull and White one factor models. In t…

We prove that Nelson's massless scalar field model is infrared divergent in three dimensions. In particular, the Nelson Hamiltonian and the Hamiltonian obtained from Euclidean quantization are not unitarily equivalent. In contrast, for dimensions higher than three the Nelson Hamiltonian has a unique ground state in Foc…

Genetic Algorithm improves Nelson-Siegel-Svensson model calibration for interest rates.

The majority of stylized facts of financial time series and several Value-at-Risk measures are modeled via univariate or multivariate GARCH processes. It is not rare that advanced GARCH models fail to converge for computational reasons, and a usual parsimonious approach is the GJR-GARCH model. There is a disagreement i…

Yield curve modeling is an essential problem in finance. In this work, we explore the use of Bayesian statistical methods in conjunction with Nelson-Siegel model. We present the hierarchical Bayesian model for the parameters of the Nelson-Siegel yield function. We implement the MAP estimates via BFGS algorithm in rstan…

Study of diffusion annealed Langevin dynamics for generative models.

A new model explains relative spreads between economies using dynamic Nelson-Siegel and functional regression.

The term structure of interest rates or yield curve is a function relating the interest rate with its own term. Nonlinear regression models of Nelson-Siegel and Svensson were used to estimate the yield curve using a sample of historical data supplied by the National Stock Exchange of Costa Rica. The optimization proble…

Invariants for trivalent graphs using algebraic colorings.

Investment strategies derived from commodity futures curves exploit dynamics in price movements.

This study models Burundi's bond market yield curve using Nelson-Siegel and Svensson models.

A robust machine learning approach forecasts U.S. Treasury yields, reducing risk for investors.

Researchers attempt to categorify biquandle brackets using Khovanov homology methods.

A mesh-free method solves continuum-marginal optimal transport problems.

We orthogonalize the NSS model to condition and diagnose its ill-conditioned parameters.

In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbitrage free under proportional transaction costs in the same spirit of Guasoni [Math. Finance 16 (2006) 569-582]. In particular, we obtain a …

We prove that if Q is a finite quasigroup quandle, then |Q| annihilates the torsion of its homology. It is a classical result in reduced homology of finite groups that the order of a group annihilates its homology. From the very beginning of the rack homology (between 1990 and 1995) the analogous result was suspected. …

Neural network model improves robustness of mortgage bond yield curve estimation.

S. Nelson, M. Orrison, V. Rivera {\cite{S}} modified Kauffman's construction of bracket. Their invariant $Φ^β_X$ takes value in a finite ring $Z_2[t]/(1+t+t^3)$. In this paper, the author generalizes this invariant. The new invariant takes value in a polynomial ring. Furthermore, for a tricolorable link diagram, the au…

Notions of Darwinian selection have been implicit in economic theory for at least sixty years. Richard Nelson and Sidney Winter have argued that while evolutionary thinking was prevalent in prewar economics, the postwar Neoclassical school became almost entirely preoccupied with equilibrium conditions and their mathema…

Study on quandle coloring quivers for (p, 2)-torus knots and links.

We prove optimal subspace embedding conjecture up to sub-polylogarithmic factors.

We continue the study of the quandle of homomorphisms into a medial quandle begun in Crans and Nelson. We show that it suffices to consider only medial source quandles, and therefore the structure theorem of Jedlicka et al. provides a characterization of the Hom quandle. In the particular case when the target is 2-redu…

Cylindrical contact homology is a comparatively simple incarnation of symplectic field theory whose existence and invariance under suitable hypotheses was recently established by Hutchings and Nelson. We study this invariant for a general Brieskorn 3-manifold $Σ(a_1,\ldots, a_n)$, and give a complete description of the…

We show that the forbidden detour move, essentially introduced by Kanenobu and Nelson, is an unknotting operation for virtual knots. Then we define the forbidden detour number of a virtual knot to be the minimal number of forbidden detour moves necessary to transform a diagram of the virtual knot into the trivial knot …

We derive an equation of motion for interest-rate yield curves by applying a minimum Fisher information variational approach to the implied probability density. By construction, solutions to the equation of motion recover observed bond prices. More significantly, the form of the resulting equation explains the success …

We study colorings of the hyperbolic plane, analogously to the Hadwiger-Nelson problem for the Euclidean plane. The idea is to color points using the minimum number of colors such that no two points at distance exactly $d$ are of the same color. The problem depends on $d$ and, following a strategy of Kloeckner, we show…

Bayesian model predicts interest rates with short-term accuracy and long-term stability.

We establish the first nonasymptotic error bounds for Kaplan-Meier-based nearest neighbor and kernel survival probability estimators where feature vectors reside in metric spaces. Our bounds imply rates of strong consistency for these nonparametric estimators and, up to a log factor, match an existing lower bound for c…

This is a survey of several approaches to the framework for working with infinitesimals and infinite numbers, originally developed by Abraham Robinson in the 1960s, and their constructive engagement with the Cantor-Dedekind postulate and the Intended Interpretation hypothesis. We highlight some applications including (…

New axioms for singquandles simplify applications and reveal algebraic aspects.

Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the financialization of futures markets in the early 2000s, we investigate if these extant mod…

In their paper entitled "Quantum Enhancements and Biquandle Brackets," Nelson, Orrison, and Rivera introduced biquandle brackets, which are customized skein invariants for biquandle-colored links. We prove herein that if a biquandle bracket is the pointwise product of another biquandle bracket with some function $φ$, t…

The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework based on neural networks. The newly proposed framework is empirically tested …

The discrete-time GARCH methodology which has had such a profound influence on the modelling of heteroscedasticity in time series is intuitively well motivated in capturing many `stylized facts' concerning financial series, and is now almost routinely used in a wide range of situations, often including some where the d…

Survival function estimation is used in many disciplines, but it is most common in medical analytics in the form of the Kaplan-Meier estimator. Sensitive data (patient records) is used in the estimation without any explicit control on the information leakage, which is a significant privacy concern. We propose a first d…

We preset a computational study of bending models for the curvature elasticity of lipid bilayer membranes that are relevant for simulations of vesicles and red blood cells. We compute bending energy and forces on triangulated meshes and evaluate and extend four well established schemes for their approximation: Kantor a…

Classifies shapes of yield curves in the Svensson family.

We construct an action of the braid group B_N on the twisted quantized enveloping algebra U'_q(o_N) where the elements of B_N act as automorphisms. In the classical limit q -> 1 we recover the action of B_N on the polynomial functions on the space of upper triangular matrices with ones on the diagonal. The action prese…

A new mosaic system for immersed surface-links is introduced.

Given a knot K we may construct a group G_n(K) from the fundamental group of K by adjoining an nth root of the meridian that commutes with the corresponding longitude. These "generalised knot groups" were introduced independently by Wada and Kelly, and contain the fundamental group as a subgroup. The square knot SK and…

Paper uses RL for dynamic swaption hedging, outperforming traditional methods.

Study of quandle coloring quivers with dihedral quandles.

Deep learning framework for bond and yield curve forecasting with no-arbitrage constraints.

Study on liquidity dynamics in Uniswap v3 pools using statistical methods.

New method for computing terminal embeddings in sublinear time.

In [14], the second named author constructed the bracket invariant [.] of virtual knots valued in pictures (linear combinations of virtual knot diagrams with some crossing information omitted), such that for many diagrams K, the following formula holds: [K]=K', where K' is the underlying graph of the diagram, i.e., the…

Direct approach for handling contextual bandits with latent state dynamics.