Concept

Connexion affine

Publications associées (56)

Affine Short Rate Models

We give a complete characterization of affine term structure (ATS) models based on a general non-negative Markov short rate process. This applies to the classical Cox—Ingersoll—Ross (CIR) model but includes as well short rate processes with jumps. We provi ...

2002

On Finite-Dimensional Term Structure Models

Damir Filipovic

In this paper we provide the characterization of all finite-dimensional Heath-Jarrow-Morton models that admit arbitrary initial yield curves. It is well known that affine term structure models with time-dependent coef- ficients (such as the Hull-White exte ...

Princeton University2002

A General Characterization of One Factor Affine Term Structure Models

Damir Filipovic

We give a complete characterization of affine term structure models based on a general nonnegative Markov short rate process. This applies to the classical CIR model but includes as well short rate processes with jumps.We provide a link to the theory of br ...

Springer Verlag2001

Models of continuum with microcrack distribution

Lalaonirina Rakotomanana Ravelonarivo

The present work compares the micromechanical approach and the continuum approach for modeling microcracked continuum. The first approach considers a distribution of microscopic cells including contacting lips (discontinuity of matter), and the second appr ...

2000

Sigma-model symmetry in orientifold models

Claudio Scrucca

We investigate in the simplest compact D = 4 N = 1 type-II B orientifold models the sigma-model symmetry suggested by the proposed duality of these models to heterotic orbifold vacua. This symmetry is known to be present at the classical level, and is asso ...

2000

Structured matrices and fast RLS adaptive filtering

Ali H. Sayed

We present a new approach to the discrete-time Chandrasekhar recursions and some generalizations thereof. We extend the recursions to a class of structured time-variant state-space models, and discuss connections with the (generalized) Schur algorithm. We ...

Elsevier1992

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