arXiv research

Affine term structure models have gained significant attention in the finance literature, mainly due to their analytical tractability and statistical flexibility. The aim of this article is to present both theoretical foundations as well as empirical aspects of the affine model class. Starting from the original one-fac…

This article investigates parameter estimation of affine term structure models by means of the generalized method of moments. Exact moments of the affine latent process as well as of the yields are obtained by using results derived for p-polynomial processes. Then the generalized method of moments, combined with Quasi-…

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…

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…

Weil algebra morphism induce natural transformations between Weil bundles. In some well known cases, a natural transformation is endowed with a canonical structure of affine bundle. We show that this structure arises only when the Weil algebra morphism is surjective and its kernel has null square. Moreover, in some cas…

We obtain a characterization of the real Lie algebras admitting abelian complex structures in terms of certain affine Lie algebras $\frak a \frak f \frak f (A)$, where $A$ is a commutative algebra. These affine Lie algebras are natural generalizations of $\frak a \frak f \frak f (\Bbb C)$ and the corresponding Lie grou…

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

We provide explicit solutions of certain forward-backward stochastic differential equations (FBSDEs) with quadratic growth. These particular FBSDEs are associated with quadratic term structure models of interest rates and characterize the zero-coupon bond price. The results of this paper are naturally related to simila…

Characterizes term structure models driven by Lévy processes.

Affine manifolds linked to integrable equations and geometric structures.

We study holomorphic foliations with an affine homogeneous transverse structure. We give a friendly characterization of the case of transversely affine foliations in terms of matrix valued pairs of differential forms. This leads naturally to the study of the case of foliations with singularities. A first extension theo…

The paper shows that energy futures yield curves have an affine geometry.

We develop tools to study the topology and geometry of self-affine fractals in dimension three and higher. We use the self-affine structure and obtain rather detailed information about the connectedness of interior and boundary sets, and on the dimensions and intersections of boundary sets. As an application, we descri…

An affine hypersurface (AH) structure is a pair comprising a conformal structure and a projective structure such that for any torsion-free connection representing the projective structure the completely trace-free part of the covariant derivative of any metric representing the conformal structure is completely symmetri…

Paper presents a new triangular form for flat systems.

A special symplectic Lie group is a triple $(G,ω,\nabla)$ such that $G$ is a finite-dimensional real Lie group and $ω$ is a left invariant symplectic form on $G$ which is parallel with respect to a left invariant affine structure $\nabla$. In this paper starting from a special symplectic Lie group we show how to ``defo…

The paper studies affine connections on singular warped products and their curvature.

Classifies connections on Galilei manifolds, generalizing known results.

The paper studies affine models driven by independent Lévy processes and their calibration.

We consider smooth plane curves which are convex with respect to the origin. We describe centro-affine invariants (that is, GL_+(2,R)-invariants), such as centro-affine curvature and arc length, in terms of the canonical Lorentz structure on the three dimensional space of all the ellipses centered at zero, by means of …

We investigate the existence of affine realizations for Lévy driven interest rate term structure models under the real-world probability measure, which so far has only been studied under an assumed risk-neutral probability measure. For models driven by Wiener processes, all results obtained under the risk-neutral appro…

Holomorphic projective structures and bundles are studied on surfaces, revealing affine spaces of parameters.

Identifies smooth curves for financial models.

New method computes affine normal directions efficiently for sparse polynomials.

Develops a unified framework for valuing insurance products with guarantees.

The paper describes projective structures with torsion using formal frames and Thomas-Whitehead connections.

Unified framework models multiple financial and insurance term structures.

We study affine Jacobi structures on an affine bundle $π:A\to M$, i.e. Jacobi brackets that close on affine functions. We prove that there is a one-to-one correspondence between affine Jacobi structures on $A$ and Lie algebroid structures on the vector bundle $A^+=\bigcup_{p\in M}Aff(A_p,\R)$ of affine functionals. Som…

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…

We construct a non-normal affine monoid together with its modules associated with a negative definite plumbed $3$-manifold $M$. In terms of their structure, we describe the $H_1(M,\mathbb{Z})$-equivariant parts of the topological Poincaré series. In particular, we give combinatorial formulas for the Seiberg--Witten inv…

Positive configurations of points in the affine building were introduced in \cite{Le} as the basic object needed to define higher laminations. We start by giving a self-contained, elementary definition of positive configurations of points in the affine building and their basic properties. Then we study the geometry of …

In this article we study Weinstein structures endowed with a Lefschetz fibration in terms of the Legendrian front projection. First we provide a systematic recipe for translating from a Weinstein Lefschetz bifibration to a Legendrian handlebody. Then we present several applications of this technique to symplectic topol…

We introduce post-Lie algebra structures on pairs of Lie algebras $(\Lg,\Ln)$ defined on a fixed vector space $V$. Special cases are LR-structures and pre-Lie algebra structures on Lie algebras. We show that post-Lie algebra structures naturally arise in the study of NIL-affine actions on nilpotent Lie groups. We obtai…

Affine structures on a Lie groupoid, including affine $k$-vector fields, $k$-forms and $(p,q)$-tensors are studied. We show that the space of affine structures is a 2-vector space over the space of multiplicative structures. Moreover, the space of affine multivector fields has a natural graded strict Lie 2-algebra stru…

The paper generalizes deformation results for Fuchsian representations and shows proper affine actions.

This paper describes a polynomial invariant of virtual knots that is defined in terms of an integer labeling of the virtual knot diagram. This labeling is seen to derive from an essentially unique structure of affine flat biquandle for flat virtual diagrams. The invariant is discussed in detail with many examples,inclu…

We describe the structure of the Lie groups endowed with a left-invariant symplectic form, called symplectic Lie groups, in terms of semi-direct products of Lie groups, symplectic reduction and principal bundles with affine fiber. This description is particularly nice if the group is Hamiltonian, that is, if the left c…

This work models overnight rates with jumps and discontinuities, extending classical short-rate models.

In this paper we study some affine structures on nilpotent Lie algebras endowed with a contact form. These affine structures are constructed from an affine structure on a symplectic Lie algebra by a central extension.

We introduce a regularization approach to arbitrage-free factor-model selection. The considered model selection problem seeks to learn the closest arbitrage-free HJM-type model to any prespecified factor-model. An asymptotic solution to this, a priori computationally intractable, problem is represented as the limit of …

In this paper we consider existence and multiplicity results concerning affine connections on $C^{k}$-manifolds $M$ whose coefficients are as regular as one needs, following the regularity theory introduced in arXiv:1908.04442. We show that if $M$ admits a $B_{α,β}^{k}$-structure, then the existence of such regular con…

We study affine maps between affine manifolds. Even when the fibers are compact and diffeomorphic, two of them can inherit different affine structures from the source space. This leads to a fixed linear holonomy deformation theory of the affine structure of an affine manifold. We found various conditions which make the…

This paper constructs and studies the long-term factorization of affine pricing kernels into discounting at the rate of return on the long bond and the martingale component that accomplishes the change of probability measure to the long forward measure. The principal eigenfunction of the affine pricing kernel germane t…

Almost Zoll affine surface found on cylinder.

We give characterizations of affine transformations and affine vector fields in terms of the spray. By utilizing the Jacobi type equation that characterizes affine vector fields, we prove some rigidity theorems of affine vector fields on compact or forward complete non-compact Finsler manifolds with non-positive total …

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 …

A branched affine structure on a compact topological surface with marked points is a complex affine structure outside the marked points. We give a proof of an unpublished foundational theorem of Veech, stating that any branched affine surface can be decomposed into affine triangles and some annulus-shaped cylinders. Th…

The paper establishes inequalities for convex curves and applies them to lattice point estimates.