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 INC2022

Rate-dependent model for simulating the hysteretic behavior of low-yield stress buckling-restrained braces under dynamic excitations

Dimitrios Lignos

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 LTD2021

Distributed Learning in Non-Convex Environments-Part I: Agreement at a Linear Rate

Ali H. Sayed, Stefan Vlaski

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

Generalized parallel tempering on Bayesian inverse problems

Fabio Nobile, Juan Pablo Madrigal Cianci

In the current work we present two generalizations of the Parallel Tempering algorithm in the context of discrete-timeMarkov chainMonteCarlo methods for Bayesian inverse problems. These generalizations use state-dependent swapping rates, inspired by the so ...

SPRINGER2021

Frictional Intermediation in Over-the-Counter Markets

Julien Hugonnier

We extend Duffie et al.'s (2005) search-theoretic model of over-the-counter (OTC) asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers' valuations (or, equivalently, inventory costs). We develop a solution ...

OXFORD UNIV PRESS2020

Watertable fluctuation-induced variability in the water retention curve: Sand column experiments

David Andrew Barry, Zhaoyang Luo

The soil water retention curve (WRC), describing the relation between the soil water content and its corresponding capillary pressure, relies not only on whether drying or wetting occurs but also on the pore scale water flow velocity. Here, we investigated ...

2020

Option pricing with orthogonal polynomial expansions

Damir Filipovic, Damien Edouard Ackerer

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial ...

WILEY2019

Linear credit risk models

Damir Filipovic, Damien Edouard Ackerer

We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS ...

2019

Understanding Mortgage Spreads

Andreas Fuster

Because most mortgages in the United States are securitized in agency mortgage-backed securities (MBS), yield spreads on MBS are a key determinant of homeowners’ funding costs. We study variation in MBS spreads in the time series and across securities and ...

2019

Measurement of the CP violation parameter AG in D-0 K+ K and D-0 pi(+) pi(-) decays

Pietro Marino

.Asymmetries in the time-dependent rates of singly Cabibbo-suppressed D0K+K- and D0+- decays are measured in pp collision data sample collected with the LHCb detector during LHC Run 1, corresponding to an integrated luminosity of 3 fb(-1). The asymmetries ...

SPRINGER HEIDELBERG2019

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