A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Developed a simulation method for 3/2 stochastic volatility model.
We consider a model for interest rates, where the short rate is given by a time-homogenous, one-dimensional affine process in the sense of Duffie, Filipovic and Schachermayer. We show that in such a model yield curves can only be normal, inverse or humped (i.e. endowed with a single local maximum). Each case can be cha…
Extended CIR process with jumps at fixed dates for modeling overnight rates.
New financial price model using earning yield derived from CIR process.
CIR method preserves relation for case-control studies.
Stochastic delay differential equations (SDDE's) have been used for financial modeling. In this article, we study a SDDE obtained by the equation of a CIR process, with an additional fixed delay term in drift; in particular, we prove that there exists a unique strong solution (positive and integrable) which we call fix…
Directly simulates squared Bessel processes efficiently.
New high-order approximations for CIR process using random grids.
We consider a jump-type Cox--Ingersoll--Ross (CIR) process driven by a standard Wiener process and a subordinator, and we study asymptotic properties of the maximum likelihood estimator (MLE) for its growth rate. We distinguish three cases: subcritical, critical and supercritical. In the subcritical case we prove weak …
We introduce a class of interest rate models, called the -CIR model, which gives a natural extension of the standard CIR model by adopting the -stable L{é}vy process and preserving the branching property. This model allows to describe in a unified and parsimonious way several recent observations on the sovereign …
Unified model for equity option pricing and interest-rate risk assessment.
The paper improves parameter estimation for interest rate models using the CIR and CKLS frameworks.
We analyze exponential integrability properties of the Cox-Ingersoll-Ross (CIR) process and its Euler discretizations with various types of truncation and reflection at 0. These properties play a key role in establishing the finiteness of moments and the strong convergence of numerical approximations for a class of sto…
Characterizes term structure models driven by Lévy processes.
Proposes a new model to handle negative interest rates using CIR framework.
The transition probability of a Cox-Ingersoll-Ross process can be represented by a non-central chi-square density. First we prove a new representation for the central chi-square density based on sums of powers of generalized Gaussian random variables. Second we prove Marsaglia's polar method extends to this distributio…
Proposes a new model for negative interest rates that fits market data closely.
This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that involves an infinite sequence of starts and stops. We establish the conditions under which the starting-stopping and switching problems admit …
We investigate the joint description of the interest-rate term stuctures of Italy and an AAA-rated European country by mean of a --here proposed-- correlated CIR-like bivariate model where one of the state variables is interpreted as a benchmark risk-free rate and the other as a credit spread. The model is constructed …
Empirical evidence suggests that fixed income markets exhibit unspanned stochastic volatility (USV), that is, that one cannot fully hedge volatility risk solely using a portfolio of bonds. While [1] showed that no two-factor Cox-Ingersoll-Ross (CIR) model can exhibit USV, it has been unknown to date whether CIR models …
The paper studies affine models driven by independent Lévy processes and their calibration.
This paper extends barrier option pricing to CIR and CEV models using semi-closed form solutions.
Credit Valuation Adjustment (CVA) pricing models need to be both flexible and tractable. The survival probability has to be known in closed form (for calibration purposes), the model should be able to fit any valid Credit Default Swap (CDS) curve, should lead to large volatilities (in line with CDS options) and finally…
The study examines Hawkes processes and their long-term behavior.
The paper derives closed-form approximations for mean-reverting SABR models and calibrates them to equity volatilities.
Improved MLMC method for barrier options with non-Lipschitz coefficients.
Develops a new model to better predict corporate bond yields.
We develop a one-dimensional notion of affine processes under parameter uncertainty, which we call non-linear affine processes. This is done as follows: given a set of parameters for the process, we construct a corresponding non-linear expectation on the path space of continuous processes. By a general dynamic programm…
ACI identifies cause-effect relationships and causal influence ranges in dynamical systems.
New model predicts credit spreads using stochastic CIR++ intensities.
We introduce MosAIc, an interactive web app that allows users to find pairs of semantically related artworks that span different cultures, media, and millennia. To create this application, we introduce Conditional Image Retrieval (CIR) which combines visual similarity search with user supplied filters or "conditions". …
In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox-Ingersoll-Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an asymptotic expansion of …
Two methods improve simulation of European call options under Heston model.
This work extends Tweedie's formulae to non-Gaussian processes for better diffusion model generation.
The present paper introduces a jump-diffusion extension of the classical diffusion default intensity model by means of subordination in the sense of Bochner. We start from the bi-variate process of a diffusion state variable driving default intensity and a default indicator process and time change it wi…
CIR method constructs efficient prediction intervals with guaranteed coverage.
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…
Develops high-order approximations for financial models, proving convergence and regularity.
In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated process is a diffusive process. We derive recursive equations for the higher order moments of the discount factor and we describe a Monte Ca…
This paper extends subordinated models to include stochastic time changes, improving financial modeling.
This paper studies the long-term growth rate of expected utility from holding a leveraged exchanged-traded fund (LETF), which is a constant proportion portfolio of the reference asset. Working with the power utility function, we develop an analytical approach that employs martingale extraction and involves finding the …
We propose a robust and stable lattice method which permits to obtain very accurate American option prices in presence of CIR stochastic interest rate without any numerical restriction on its parameters. Numerical results show the reliability and the accuracy of the proposed method.
Quantum algorithms speed up derivative pricing beyond Black-Scholes models.
We consider an economic agent (a household or an insurance company) modelling its surplus process by a deterministic process or by a Brownian motion with drift. The goal is to maximise the expected discounted spendings/dividend payments, given that the discounting factor is given by an exponential CIR process. In the d…
In this paper, we derive the price of a European call option of an asset following a normal process assuming stochastic volatility. The volatility is assumed to follow the Cox Ingersoll Ross (CIR) process. We then use the fast Fourier transform (FFT) to evaluate the option price given we know the characteristic functio…
Robustly detects jumps in high-frequency CIR and CKLS models.
We introduce a multi-factor stochastic volatility model based on the CIR/Heston stochastic volatility process. In order to capture the Samuelson effect displayed by commodity futures contracts, we add expiry-dependent exponential damping factors to their volatility coefficients. The pricing of single underlying Europea…
I present the technique which can analyse some interest rate models: Constantinides-Ingersoll, CIR-model, geometric CIR and Geometric Brownian Motion. All these models have the unified structure of Whittaker function. The main focus of this text is closed-form solutions of the zero-coupon bond value in these models. In…