arXiv research

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.

Develops a new method for financial term structure modeling.

Theory of price impact on bond term structure.

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.

The study explains why signature methods work in commodity futures term structure classification.

The paper proposes a new method to calibrate option pricing models that accurately match both volatility surfaces and variance term structures.

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.

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.

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…

Develops a statistical model for SOFR term structure in incomplete markets.

We construct a toric generalised Kähler structure on $\mathbb{C}P^2$ 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.

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

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.

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.

New model predicts credit spreads using stochastic CIR++ intensities.

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.

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 $L_{\infty}$-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.

Proposes a new VIX futures trading strategy based on term structure modeling.

We propose an alternative approach on the existence of affine realizations for HJM interest rate models. It is applicable to a wide class of models, and simultaneously it is conceptually rather comprehensible. We also supplement some known existence results for particular volatility structures and provide further insig…

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.

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…

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…

It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current market environment with negative short interest rates. Moreover, the diffusion term in the rate dynamics goes to zero when short rates are sma…

We propose a unified structural credit risk model incorporating both insolvency and illiquidity risks, in order to investigate how a firm's default probability depends on the liquidity risk associated with its financing structure. We assume the firm finances its risky assets by mainly issuing short- and long-term debt.…

Let $Ω$ be an open subset of a Stein manifold $Σ$ and let $M$ be its boundary. It is well known that $M$ inherits a natural contact structure. In this paper we consider a family of variational functionals $F_\varepsilon$ defined by the sum of two terms: a Dirichlet-type energy associated with a sub-Riemannian structure…

We present a family of models for the term structure of interest rates which describe the interest rate curve as a stochastic process in a Hilbert space. We start by decomposing the deformations of the term structure into the variations of the short rate, the long rate and the fluctuations of the curve around its avera…

We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as for example the jumps of the term structures in correspondence to monetary policy meetings of the ECB show. We provide a general analysis of …

Due to the lack of reliable market information, building financial term-structures may be associated with a significant degree of uncertainty. In this paper, we propose a new term-structure interpolation method that extends classical spline techniques by additionally allowing for quantification of uncertainty. The prop…

We investigate the existence of affine realizations for term structure models driven by Lévy processes. It turns out that we obtain more severe restrictions on the volatility than in the classical diffusion case without jumps. As special cases, we study constant direction volatilities and the existence of short rate re…

Model interest rates and energy futures with regime-switching dynamics.