The paper identifies short-term and long-term time scales in stock markets with and without structural breaks.
problem Understanding the nature of stock markets at short-term and long-term time scales.
method Applied Zivot and Andrews structural trend break model to identify structural breaks. Used empirical mode decomposition and Hurst exponent to analyze time scales.
result Identified short-term and long-term time scales in stock markets, with short-term scales within few days to 3 months and long-term scales greater than 5 months.
Paper proves existence of Lévy term structure models.
problem Existence proof for Lévy term structure models.
method Proof of existence and uniqueness for Heath-Jarrow-Morton type equation.
result Full proof of existence and uniqueness of Lévy term structure models.
The paper models term structures under volatility uncertainty using G-Brownian motion.
problem Modeling term structures with volatility uncertainty.
method Modeling instantaneous forward rates as a diffusion process driven by G-Brownian motion.
result Derives a sufficient condition for the absence of arbitrage under volatility uncertainty.
The paper compares long forward probabilities to bond risk premiums, finding the latter predicts a different term structure.
problem The term structure of bond risk premiums is inconsistent with martingale assumptions.
method Analyzes the stochastic discount factor and long-term factorization.
result Long forward probabilities predict an upward sloping term structure, contradicting martingale assumptions.
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.
Investigates existence of affine models for Lévy-driven term structures.
problem Existence of affine realizations for term structure models with jumps.
method Analyzes term structure models driven by Lévy processes, focusing on restrictions on volatility.
result More severe restrictions on volatility compared to diffusion models.
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.
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…
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. …
Study the Hull-White model with volatility uncertainty, finding an arbitrage-free term structure.
problem Finding an arbitrage-free term structure in the Hull-White model with volatility uncertainty.
method Representing volatility uncertainty with sublinear expectation and G-Brownian motion; adjusting the model to find an arbitrage-free term structure.
result The resulting term structure is affine with respect to the short rate and the adjustment factor, consistent with the traditional Hull-White model after fitting the yield curve.
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.
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…
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…
This study uses quantile regression to analyze U.S. firms' capital structure across different leverage levels.
problem Empirical determinants of capital structure adjustment in various macroeconomic states.
method Quantile regression method to investigate firm-specific and macroeconomic characteristics.
result Long-term and short-term debt ratios adjust at different speeds, with short-term debt increasing and long-term debt decreasing over time.
A new CIR# model preserves volatility and tractability for short-term interest rates.
problem Inadequacy of CIR model for negative short rates and skewed distributions.
method Developed CIR# model to fit term structure of short interest rates.
result Preserves volatility and analytical tractability of original CIR model.
New method for financial term-structure interpolation with uncertainty quantification.
problem Uncertainty in building financial term-structures due to market information gaps.
method Generalized kriging models with linear and shape-preserving constraints.
result Efficient construction of term-structures and confidence intervals for various financial rates.
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.
Proposes an alternative method for HJM models' existence.
problem Existence of affine realizations for HJM term structure models.
method Alternative approach applicable to various models, conceptually clear.
result Provides insights into term structure model geometry.
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…
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.
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 …
Researchers create a Kähler structure on complex projective plane using elliptic functions.
problem Constructing a toric generalised Kähler structure on CP2. method Expressed various structures in terms of elliptic functions and computed the generalised Kähler potential.
result Various structures on CP2 are described using elliptic functions. The paper proves Γ-convergence of variational functionals in Stein manifolds with boundary terms.
problem Variational functionals with boundary terms in Stein manifolds.
method Analysis of a family of variational functionals Fε defined by Dirichlet-type energy and a potential term on the boundary. result The functionals Fε Γ-converge to the intrinsic perimeter in the boundary M. 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.
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.
Develops a framework for modeling interest rate markets with jumps.
problem Stochastic discontinuities in interest rate markets.
method Extended HJM framework with stochastic discontinuities, affine semimartingales.
result Fundamental theorem of asset pricing based on NAFLVR.
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.
Study on submanifolds in metallic structures with new results and structures.
problem Investigating submanifolds in metallic structures.
method Analyzing hypersurfaces and products spaces, defining new structures, and expressing fundamental theorems.
result New fundamental theorems for submanifolds in metallic structures.
Modeling defaultable bonds with minimal assumptions.
problem Modeling term structures under default risk with minimal assumptions.
method Introducing an additional term in the forward rate approach to account for default at predictable times.
result Deriving necessary and sufficient conditions for a local martingale measure in credit risky bonds.
The study classifies term structure shapes in the two-factor Vasicek model using total positivity.
problem Classifying all possible term structure shapes in the two-factor Vasicek model of interest rates.
method Total positivity theory pioneered by Samuel Karlin.
result Four additional shapes can be produced in certain parameter regimes.
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.
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.
In this paper we consider three deeply connected classificational problems on four-dimensional manifolds. First we consider and describe locally regular distributions. Second we give a classification of almost complex structures of general position in terms of distributions. Finally we classify nondegenerate Monge-Ampe…
Kriging predicts futures prices by accounting for trends and bid-ask spreads.
problem Predicting futures prices with trends and bid-ask spreads.
method Bayesian Kriging technique to model term structure.
result Kriging accurately predicts futures prices with embedded trends and bid-ask spreads.
Study rack homology of associative shelves, a new algebraic structure.
problem Developing homology theories for new algebraic structures.
method Investigate one-term and two-term homology groups of associative self-distributive algebraic structures.
result Established homology groups for associative shelves.
I begin by explaining how Riemannian geometry can be understood in terms of principal fibre bundles and connections thereon. I then introduce and motivate the definition of a spinor structure in terms of familiar geometrical ideas. The central result of this thesis is a complete and constructive classification of spino…
MusicVAE uses a hierarchical decoder to model long-term structure in music sequences.
problem Difficulty of existing recurrent VAE models in modeling long-term structure in sequential data.
method Proposes a hierarchical decoder that outputs embeddings for subsequences and uses these embeddings to generate each subsequence independently.
result Demonstrates better sampling, interpolation, and reconstruction performance than a flat baseline model.
We give simple characterizations of contact 1-forms in terms of Dirac structures. We also relate normal almost contact structures to the theory of Dirac structures.
In this paper we propose a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices. We rely on a theoretical model described in [21], but extend it so that it reflects actually traded electricity contracts, transaction costs and liquidity considerations. Our nume…