The study constructs models for SOFR term rates using futures data.
problem Disruption of the LIBOR market and lack of liquid SOFR derivatives.
method Dynamic arbitrage-free models using historical SOFR futures prices.
result Shadow-rate extension needed for zero-boundary term rates.
Develops a statistical model for SOFR term structure in incomplete markets.
problem Incomplete liquidity and completeness in SOFR derivatives market.
method Statistical model incorporating macroeconomic factors and jumps in SOFR rates.
result Model is well-suited for risk management and derivatives pricing.
The paper models SOFR and EFFR dynamics, reconciling diffusive and piecewise paths.
problem Updating interest rate models for SOFR, which is becoming a key benchmark.
method Calibrates a model to SOFR and EFFR futures prices, reconciling diffusive and piecewise paths.
result The model reflects key empirical features of SOFR dynamics and reconciles diffusive and piecewise paths.
Examines SOFR derivatives pricing and hedging post-LIBOR discontinuation.
problem Pricing and hedging of SOFR derivatives post-LIBOR discontinuation.
method One-factor model based on Vasicek's equation for overnight interest rates dynamics.
result Arbitrage-free pricing and hedging of SOFR derivatives instruments.
AXI assesses bank funding costs transparently, improving loan pricing and reducing financial risk.
problem Lack of credit-sensitive funding benchmarks after LIBOR transition.
method AXI aggregates unsecured funding transactions across maturities, producing a daily credit spread.
result AXI correlates with financial conditions and market stress, reducing funding risk and offering spread discounts.
New method for pricing SOFR futures options, solving both American and Asian exercise styles.
problem Lack of pricing models for SOFR futures options post-LIBOR transition.
method Developed a new version of the GIT method to solve semi-analytically.
result Obtained option prices, exercise boundaries, and Greeks for American and Asian options.
Improved model for SOFR, SONIA, and ESTR caplets pricing.
problem Accurate pricing of options on backward-looking rates.
method Extended Turfus and Romero-Bermúdez model to include smile and skew.
result Simple effective variance formulae for caplet pricing.
We develop a new method to price SOFR futures contracts considering convexity, skew, and smile.
problem Analyzing and pricing SOFR futures contracts with convexity, skew, and smile adjustments.
method A perturbative formalism based on a time-ordered exponential series to solve the backward-Kolmogorov diffusion PDE.
result An analytic pricing formula for SOFR futures contracts that incorporates convexity, skew, and smile adjustments.
Alternative perspective on mean-field LIBOR market model, maintaining practicality and applicability.
problem Maintaining practicality and applicability of mean-field LIBOR market model.
method Embedding mean-field model in a classical setup, controlling term rate variances over large time horizons.
result Framework can be directly applied to model term rates from SOFR, ESTR, or other nearly risk-free overnight rates.
This work models overnight rates with jumps and discontinuities, extending classical short-rate models.
problem Capturing the jump behavior and discontinuities in overnight rates for accurate modeling.
method Developed a term structure modeling framework based on overnight rates, accommodating stochastic discontinuities.
result Simple specifications can capture the jump behavior of overnight rates, and explicit valuation formulas are provided.
Paper examines pricing and hedging for cross-currency swaps referencing backward-looking rates.
problem Pricing and hedging cross-currency swaps with backward-looking rates.
method Uses interest rate and currency futures for hedging, analyzes arbitrage-free multi-curve setting.
result Explicit pricing and hedging results for CCBS with backward-looking rates.
Model estimates LIBOR rates and finds COVID-19 spread spike due to credit risk.
problem Estimating LIBOR rates and understanding the factors affecting them.
method Developed a joint model for various LIBOR-related rates and used it to decompose spreads.
result Credit risk mainly caused the spike in LIBOR-OIS spread during the COVID-19 onset, with equal contributions from credit and funding-liquidity risks on average.
Study on collateral currency impact in differential swaps valuation.
problem Impact of collateral currency on differential swap valuation and risk management.
method Replication using futures, explicit pricing and hedging strategies.
result Choice of collateral currency can introduce additional risk exposures.
This paper models short rates with jumps using PDEs.
problem Capturing jumps and spikes in interest rates.
method PDE approach for pricing interest rate derivatives.
result Established Feynman-Kač representation and derived solutions.
Abstract framework for cross-currency interest rate contracts.
problem Handling cross-currency markets with collateral and incompleteness.
method Developed a general HJM framework for abstract market indices.
result Enabled simultaneous description of multiple currency interest rate products.
The paper presents the comparative study of the nature of stock markets in short-term and long-term time scales with and without structural break in the stock data. Structural break point has been identified by applying Zivot and Andrews structural trend break model to break the original time series (TSO) into time ser…
Neural model improves option pricing by calibrating additive process term structure.
problem Calibrating additive process models for option pricing with time-dependent parameters.
method Proposes neural term structure model using feedforward neural networks to represent term structure.
result Improves option pricing accuracy with neural term structure model.
Develops a new method for financial term structure modeling.
problem Analyzing financial term structures with discontinuities.
method Cylindrical stochastic integration approach.
result Establishes a Heath-Jarrow-Morton framework.
Theory of price impact on bond term structure.
problem Understanding price impact in interest rate markets.
method Formulated instantaneous and transient price impact on bonds with different maturities, connecting to no-arbitrage theory.
result Price impact can be embedded in the pricing measure and no-arbitrage preserved.
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for pricing under credit, collateral and funding risks into term structure modellin…
Divides state space into regions with identical term structure shapes.
problem Classifying term structure shapes in the two-factor Vasicek model.
method Using envelopes and winding numbers to divide and classify the state space.
result Nearly complete classification of parameter space regarding term structure shapes.
The study explains why signature methods work in commodity futures term structure classification.
problem Lack of interpretability in signature methods for term structure classification.
method Introducing signature perturbations to explain the success of signature-based classification.
result The volatility of the convenience yield is the major discriminant for commodity markets classification.
The paper proposes a new method to calibrate option pricing models that accurately match both volatility surfaces and variance term structures.
problem Calibrated models often produce inaccurate variance term structures relative to market observations.
method The paper introduces a joint calibration framework that augments the conventional objective function with a penalty term for variance term structure deviations, using a hyperparameter to balance volatility surface and variance term structure weights.
result The proposed method accurately fits observed option prices while delivering realistic term structures of variance.
A quantum field theory generalization, Baaquie, of the Heath, Jarrow, and Morton (HJM) term structure model parsimoniously describes the evolution of imperfectly correlated forward rates. Field theory also offers powerful computational tools to compute path integrals which naturally arise from all forward rate models. …
In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest rate can have different economic or financial trends justify the interest of Regim…
Lévy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the Lévy driven Heath-Jarrow-Morton type term structure equation. This includes a full proof of existence and uniqueness in particular, which seems to have been lack…
Hypercomplex structures on Courant algebroids unify holomorphic symplectic structures and usual hypercomplex structures. In this note, we prove the equivalence of two characterizations of hypercomplex structures on Courant algebroids, one in terms of Nijenhuis concomitants and the other in terms of (almost) torsionfree…
Unified framework models multiple financial and insurance term structures.
problem Modeling multiple term structures in various markets.
method Extended Heath-Jarrow-Morton (HJM) approach under real-world probability.
result Characterization of local martingale deflators and existence of affine realizations.
We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term structure is summarized and shown to be equivalent to a particular type of the reduced form credit risk model, the fractional recovery of market value approach. We argue that the corporate p…
Study analyzes bond price covariation robustly under no-arbitrage conditions.
problem Identifying the number of statistically relevant factors in the bond market.
method Nonparametric analysis of realized covariations in a general no-arbitrage setting.
result A high number of factors is needed to describe term structure evolution and term structure of volatility varies over time.
We show that the martingale component in the long-term factorization of the stochastic discount factor due to Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) is highly volatile, produces a downward-sloping term structure of bond Sharpe ratios, and implies that the long bond is far from growth optimality. In…
Although conservative Hamiltonian systems with constraints can be formulated in terms of Dirac structures, a more general framework is necessary to cover also dissipative systems such as gradient and metriplectic systems with constraints. We define Leibniz-Dirac structures which lead to a natural generalization of Dira…
We construct a toric generalised Kähler structure on CP2 and show that the various structures such as the complex structure, metric etc are expressed in terms of certain elliptic functions. We also compute the generalised Kähler potential in terms of integrals of elliptic functions.
New models capture dynamic derivatives pricing with efficient simulations.
problem Capturing dynamic features of derivatives' term structures.
method Machine learning techniques to store and efficiently simulate complex drift terms.
result First efficient dynamic term structure models.
We derive caplet volatilities for quadratic models, providing an asymptotic approximation.
problem Calculating caplet volatilities for quadratic term-structure models.
method Asymptotic approximation for caplet volatilities under quadratic models.
result Asymptotic accuracy of the derived caplet volatilities.
While homology theory of associative structures, such as groups and rings, has been extensively studied in the past beginning with the work of Hopf, Eilenberg, and Hochschild, homology of non-associative distributive structures, such as quandles, were neglected until recently. Distributive structures have been studied …
In this paper, we study term structure movements in the spirit of Heath, Jarrow, and Morton [Econometrica 60(1), 77-105] under volatility uncertainty. We model the instantaneous forward rate as a diffusion process driven by a G-Brownian motion. The G-Brownian motion represents the uncertainty about the volatility. With…
The major perspective of this paper is to provide more evidence into the empirical determinants of capital structure adjustment in different macroeconomics states by focusing and discussing the relative importance of firm-specific and macroeconomic characteristics from an alternative scope in U.S. This study extends th…
ARBITER learns SPX-VIX term structures without arbitrage constraints.
problem Arbitrage-free modeling of SPX-VIX term structures.
method Risk-neutral neural operator mapping market states to operator outputs enforcing static arbitrage constraints.
result ARBITER outperforms other models in derivatives term structure evaluation metrics.
We consider submanifolds into Riemannian manifold with metallic structures. We obtain some new results for hypersurfaces in these spaces and we express the fundamental theorem of submanifolds into products spaces in terms of metallic structures. Moreover, we define new structures called complex metallic structures. We …
Characterizes term structure models driven by Lévy processes.
problem Modeling non-negative short rates with Lévy processes.
method Analyzes affine term structure models driven by independent Lévy martingales.
result All possible solutions of the models can be obtained using stable processes.
New model predicts credit spreads using stochastic CIR++ intensities.
problem Lack of continuous stochastic credit spread models and limited term structure models.
method Stochastic CIR++ model for default intensities in risk-neutral space.
result Model produces realistic credit spread term structure curves and consistent diffusion over time.
We study the Hull-White model for the term structure of interest rates in the presence of volatility uncertainty. The uncertainty about the volatility is represented by a set of beliefs, which naturally leads to a sublinear expectation and a G-Brownian motion. The main question in this setting is how to find an arbitra…
Two constructions link path geometries to almost Grassmann structures.
problem Linking path geometries to almost Grassmann structures.
method Introducing two Fefferman-type constructions.
result Characterizing conditions for almost Grassmann structures arising from these constructions.
Homology theories for associative algebraic structures are well established and have been studied for a long time. More recently, homology theories for self-distributive algebraic structures motivated by knot theory, such as quandles and their relatives, have been developed and investigated. In this paper, we study ass…
We show that L∞-algebroids, understood in terms of Q-manifolds can be described in terms of certain higher Schouten and Poisson structures on graded (super)manifolds. This generalises known constructions for Lie (super)algebras and Lie algebroids.
LIT-LVM improves linear predictors by estimating interaction terms with latent vectors.
problem Accurately estimating coefficients for interaction terms in linear predictors.
method Structured regularization using latent vectors to represent features.
result LIT-LVM achieves superior prediction accuracy compared to other methods.
Proposes a new VIX futures trading strategy based on term structure modeling.
problem Optimizing VIX futures trading based on term structure.
method Assumes VIX futures term structure follows a Markov model. Uses a deep neural network to model the functional dependence between VIX futures curve, positions, and expected utility.
result Backtests show reasonable portfolio performance and optimal long/short positions.