Concept
Short-rate model
Publications associées (43)
Skew-Brownian motion and pricing European exchange options br
This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...
ELSEVIER SCIENCE INC2022Rate-dependent model for simulating the hysteretic behavior of low-yield stress buckling-restrained braces under dynamic excitations
Buckling-restrained braces (BRBs) are often idealized with rate-independent simulation models. However, under dynamic loading, BRBs featuring low-yield point steel exhibit rate-dependency that may lead to appreciable amplifications of the BRB forces. This ...
ELSEVIER SCI LTD2021Distributed Learning in Non-Convex Environments-Part I: Agreement at a Linear Rate
Driven by the need to solve increasingly complex optimization problems in signal processing and machine learning, there has been increasing interest in understanding the behavior of gradient-descent algorithms in non-convex environments. Most available wor ...
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2021