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Concept

Short-rate model

Related publications (25)

Skew-Brownian motion and pricing European exchange options br

Puneet Pasricha

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

HIERARCHICAL MARKOV CHAIN MONTE CARLO METHODS FOR BAYESIAN INVERSE PROBLEMS

Juan Pablo Madrigal Cianci

This thesis is devoted to the construction, analysis, and implementation of two types of hierarchical Markov Chain Monte Carlo (MCMC) methods for the solution of large-scale Bayesian Inverse Problems (BIP). The first hierarchical method we present is base ...

EPFL2022

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 ...

2021

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 ...

2021

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

Re-evaluating natural resource investments under uncertainty: An alternative to limited traditional approaches

Sebastian Maier

The need to evaluate natural resource investments under uncertainty has given rise to the development of real options valuation; however, the analysis of such investments has been restricted by the capabilities of existing valuation approaches. We re-visit ...

2021

The CDS-bond basis

Pierre Collin-Dufresne

We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...

WILEY2019

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 ...

2020

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 ...

2020

Pricing interest rate, dividend, and equity risk

Sander Félix M Willems

This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...

EPFL2019

Unspanned stochastic volatility in the multifactor CIR model

Damir Filipovic, Martin Larsson, Francesco Statti

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 Collin-Dufresne and Goldstein (2002, Journal of Finance, 57, ...

2019

On the American swaption in the linear-rational framework

Damir Filipovic

We study American swaptions in the linear-rational (LR) term structure model introduced in Filipović et al. [J. Finance., 2017, 72, 655–704]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It ...

2018

Linear-Rational Term Structure Models

Damir Filipovic, Martin Larsson

We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures ...

Wiley2017

Fast Estimation of Plant Steady State, with Application to Static RTO

Dominique Bonvin, Michael Amrhein, Julien Léo Billeter, Diogo Filipe Mateus Rodrigues

Experimental assessment or prediction of plant steady state is important for many applications in the area of modeling and operation of continuous processes. For example, the iterative implementation of static real-time optimization requires reaching stead ...

2016

Integrating Rate Based Models into a Multi-Objective Process Design & Optimisation Framework using Surrogate Models

Levent Sinan Teske

In the development of energy and chemical processes, the process engineers extensively apply computer aided methods to design & optimise these processes and corresponding process units. Such applications are multi-scale modelling and multi-objective optimi ...

EPFL2014

Incremental Model Identification of Fluid-Fluid Reaction Systems – Dynamic Accumulation and Reactions in the Diffusion Layer

Dominique Bonvin, Julien Léo Billeter, Sriniketh Srinivasan

The identification of kinetic models is an important step for the monitoring, control and optimization of industrial processes. This is particularly the case for highly competitive business sectors such as chemical and pharmaceutical industries, where the ...

2013

Affine Processes On Positive Semidefinite Matrices

Damir Filipovic

This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finan ...

Institute of Mathematical Statistics2011

Dynamic CDO Term Structure Modeling

Damir Filipovic

This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the underlying pool ...

Wiley-Blackwell2011

A Trajectory-based Calibration Method for Stochastic Motion Models

Alcherio Martinoli, Massimo Mastrangeli, Grégory Mermoud, Ezequiel Leonardo Di Mario

In this paper, we present a quantitative, trajectory-based method for calibrating stochastic motion models of water-floating robots. Our calibration method is based on the Correlated Random Walk (CRW) model, and consists in minimizing the Kolmogorov-Smirno ...

Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2011