arXiv research

Extends SABR model for pricing RFR caplets.

Study affine models for alternative risk-free rates and derive caplet pricing formulas.

Improved model for SOFR, SONIA, and ESTR caplets pricing.

Criterion for congruence RFRS towers in hyperbolic lattices.

In recent years, the RFRS condition has been used to analyze virtual fibering in 3-manifold topology. Agol's work shows that any 3-manifold with zero Euler characteristic satisfying the RFRS condition on its fundamental group virtually fibers over the circle. In this note we will show that a finitely generated nilpoten…

We derive caplet volatilities for quadratic models, providing an asymptotic approximation.

This paper provides a practical method to extract caplet volatilities from quoted data.

Simpler proof for Kielak's virtual fibering criterion.

Optimal AFs minimize RFR test error and sensitivity.

In this article we develop the theory of residually finite rationally $p$ (RFR$p$) groups, where $p$ is a prime. We first prove a series of results about the structure of finitely generated RFR$p$ groups (either for a single prime $p$, or for infinitely many primes), including torsion-freeness, a Tits alternative, and …

Study improves caplet calibration for 1Y maturity using different models.

Improved LV model for interest rate swaptions and caplets.

Efficiently calibrates SABR/LIBOR models to real market caplets and swaptions data.

New method optimizes hyperparameters for randomized algorithms like random feature regression.

Derives PDEs for pricing RFR derivatives under a new FMM model.

Profinite rigidity studied for algebraic fibring of groups.

The paper introduces a new short rate model with memory components.

Survey on fibring in manifolds and groups, focusing on recent developments and conjectures.

We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short rate, Libor market, or HJM modeling, can be consolidated. We model a numeraire process and multiplicative spreads between Libor rates and simply compounded OIS rates as functions …

In 2007 Agol showed that if N is an aspherical compact 3-manifold with empty or toroidal boundary such that its fundamental group is virtually RFRS, then $N$ is virtually fibered. We give a largely self-contained proof of Agol's theorem using complexities of sutured manifolds.

We consider an interest rate model with log-normally distributed rates in the terminal measure in discrete time. Such models are used in financial practice as parametric versions of the Markov functional model, or as approximations to the log-normal Libor market model. We show that the model has two distinct regimes, a…

Study uses weak transport for non-convex costs in fixed-income markets.

Paper examines pricing and hedging for cross-currency swaps referencing backward-looking rates.

SRFRN accelerates image super-resolution using shallow residual units.

We show that a finitely generated residually finite rationally solvable (or RFRS) group $G$ is virtually fibred, in the sense that it admits a virtual surjection to $\mathbb{Z}$ with a finitely generated kernel, if and only if the first $L^2$-Betti number of $G$ vanishes. This generalises (and gives a new proof of) the…

We prove that an irreducible 3-manifold whose fundamental group satisfies a certain group-theoretic property called RFRS is virtually fibered. As a corollary, we show that 3-dimensional reflection orbifolds and arithmetic hyperbolic orbifolds defined by a quadratic form virtually fiber. These include the Seifert Weber …

New method models complex dynamics using a base variable.

We discuss two numerical methods, based on a path integral approach described in a previous paper (I), for solving the stochastic equations underlying the financial markets: the Monte Carlo approach, and the Green function deterministic numerical method. Then, we apply the latter to some specific financial problems. In…

Optimizes chip component placement with self-alignment for SMT technology.

Extends DML for parametric problems, improving accuracy and efficiency in pricing and calibration.

New method prices interest rate derivatives without Monte Carlo, achieving high accuracy and speed.

Study develops machine learning model to predict component movement during reflow in SMT.

The class of affine LIBOR models is appealing since it satisfies three central requirements of interest rate modeling. It is arbitrage-free, interest rates are nonnegative and caplet and swaption prices can be calculated analytically. In order to guarantee nonnegative interest rates affine LIBOR models are driven by no…

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 dynamics of OIS and LIBOR rates are specified following the methodology of the …

New groups found that don't virtually algebraically fiber, related to mapping class group orbits.

We introduce efficient numerical methods for generic HJM equations of interest rate theory by means of high-order weak approximation schemes. These schemes allow for QMC implementations due to the relatively low dimensional integration space. The complexity of the resulting algorithm is considerably lower than the comp…

In this paper, we establish a market model for the term structure of forward inflation rates based on the risk-neutral dynamics of nominal and real zero-coupon bonds. Under the market model, we can price inflation caplets as well as inflation swaptions with a formula similar to the Black's formula, thus justify the cur…

We propose an affine extension of the Linear Gaussian term structure Model (LGM) such that the instantaneous covariation of the factors is given by an affine process on semidefinite positive matrices. First, we set up the model and present some important properties concerning the Laplace transform of the factors and th…

The aim of this work is to provide fast and accurate approximation schemes for the Monte-Carlo pricing of derivatives in the Lévy LIBOR model of Eberlein and Özkan (2005). Standard methods can be applied to solve the stochastic differential equations of the successive LIBOR rates but the methods are generally slow. We …

We demonstrate effectiveness of the first-order algorithm from [Milstein, Tretyakov. Theory Prob. Appl. 47 (2002), 53-68] in application to barrier option pricing. The algorithm uses the weak Euler approximation far from barriers and a special construction motivated by linear interpolation of the price near barriers. I…

In this short note, using our geometric method introduced in a previous paper \cite{phl} and initiated by \cite{ave}, we derive an asymptotic swaption implied volatility at the first-order for a general stochastic volatility Libor Market Model. This formula is useful to quickly calibrate a model to a full swaption matr…

Non-coherence proven for certain groups with specific mapping tori.

This paper stems from the observation (arising from work of T. Delzant) that "most" Kähler groups virtually algebraically fiber, i.e. admit a finite index subgroup that maps onto $\Bbb{Z}$ with finitely generated kernel. For the remaining ones, the Albanese dimension of all finite index subgroups is at most one, i.e. t…

This paper models short rates with jumps using PDEs.

GPU computing has become popular in computational finance and many financial institutions are moving their CPU based applications to the GPU platform. Since most Monte Carlo algorithms are embarrassingly parallel, they benefit greatly from parallel implementations, and consequently Monte Carlo has become a focal point …

The aim of this work is to provide fast and accurate approximation schemes for the Monte Carlo pricing of derivatives in LIBOR market models. Standard methods can be applied to solve the stochastic differential equations of the successive LIBOR rates but the methods are generally slow. Our contribution is twofold. Firs…

In this paper we consider the pricing of options on interest rates such as caplets and swaptions in the Lévy Libor model developed by Eberlein and Özkan (2005). This model is an extension to Lévy driving processes of the classical log-normal Libor market model (LMM) driven by a Brownian motion. Option pricing is signif…

This paper improves SABR/LMM for better practical use in global banks.