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.
The paper studies multi-curve interest rate models and their consistency and finite-dimensional realizations.
The recent financial crisis has led to so-called multi-curve models for the term structure. Here we study a multi-curve extension of short rate models where, in addition to the short rate itself, we introduce short rate spreads. In particular, we consider a Gaussian factor model where the short rate and the spreads are…
We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and show that a rational two-factor lognormal multi-curve model is sufficient to match market data with accuracy. We elucidate the relationship…
Critical graphs of quadratic differentials equidistribute in moduli space.
The general problem of asset pricing when the discount rate differs from the rate at which an asset's cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each identified by a yield curve having its own market, credit and liquidity risk charact…
The study examines dynamics on SU(2)-representation varieties for surfaces and non-orientable surfaces.
We develop and apply an approach for analyzing multi-curve data where each curve is driven by a latent state process. The state at any particular point determines a smooth function, forcing the individual curve to switch from one function to another. Thus each curve follows what we call a switching nonparametric regres…
The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A single yield curve is not sufficient any longer to describe the market of interest rate products. On the other hand, using different yield c…
We present a HJM approach to the projection of multiple yield curves developed to capture the volatility content of historical term structures for risk management purposes. Since we observe the empirical data at daily frequency and only for a finite number of time-to-maturity buckets, we propose a modelling framework w…
The paper explores using machine learning for yield curve calibration in multiple markets.
The study finds non-simple isotopy classes of links in 3-manifolds, including Legendrian and pseudo-Legendrian examples.
Given a closed Riemannian manifold and a pair of multi-curves in it, we give a formula relating the linking number of the later to the spectral theory of the Laplace operator acting on differential one forms. As an application, we compute the linking number of any two multi-geodesics of the flat torus of dimension 3, g…
Counting hyperbolic multi-geodesics with individual component lengths.
We show that any grafting ray in Teichmüller space determined by an arational lamination or a multi-curve is (strongly) asymptotic to a Teichmüller geodesic ray. As a consequence the projection of a generic grafting ray to moduli space is dense. We also show that the set of points in Teichmüller space obtained by integ…
Collateralization with daily margining has become a new standard in the post-crisis market. Although there appeared vast literature on a so-called multi-curve framework, a complete picture of a multi-currency setup with cross-currency basis can be rarely found since our initial attempts. This work gives its extension r…
Let be a compact, connected, oriented surface, possibly with boundary, of negative Euler characteristic. In this article we extend Lindenstrauss-Mirzakhani's and Hamenstädt's classification of locally finite mapping class group invariant ergodic measures on the space of measured laminations $\mathcal{M}\mathcal{L}(…
Study minima of geodesic lengths for specific curves on surfaces.
Geometric interpretation of 3-manifold invariants using immersed curves.
We develop a modelling framework for multiple yield curves driven by continuous-state branching processes with immigration (CBI processes). Exploiting the self-exciting behavior of CBI jump processes, this approach can reproduce the relevant empirical features of spreads between different interbank rates. In particular…
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 …
In the context of multi-curve modeling we consider a two-curve setup, with one curve for discounting (OIS swap curve) and one for generating future cash flows (LIBOR for a give tenor). Within this context we present an approach for the clean-valuation pricing of FRAs and CAPs (linear and nonlinear derivatives) with one…
For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the last years led market players to revise this assumption and accommodate basis-swap spreads, whose remarkable widening can no longer be neglecte…
Paper studies metric ribbon graphs and provides a recursion for their volumes.
The study bounds distances in simplicial complexes and defines new invariants for 3-manifolds and handlebody-knots.
We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational functions of the state variables. The nominal pricing kernel is constructed in a multiplicative manner that …
This paper studies a subgroup of the Goeritz group related to Heegaard splittings induced by openbook decompositions.
Paper examines pricing and hedging for cross-currency swaps referencing backward-looking rates.
New combinatorial structures for Teichmüller spaces with Thurston's metric are explored.
Historical (Stressed-) Value-at-Risk ((S)VAR), and Expected Shortfall (ES), are widely used risk measures in regulatory capital and Initial Margin, i.e. funding, computations. However, whilst the definitions of VAR and ES are unambiguous, they depend on input distributions that are data-cleaning- and Data-Model-depende…
This study tackles XVA model risk and computational effort in derivatives pricing.