Results 171 to 180 of about 114,337,738 (295)

The Evolution of Interest‐Rate Models: From the Yield Curve to the Swaption Cube

Journal of Economic Surveys, EarlyView.
ABSTRACT Interest‐rate modelling is often taught as a catalogue of competing stochastic equations, obscuring why models were created and why modern sell‐side desks use several simultaneously. This survey reorganises the field around five layers of a pricing architecture: curve construction; arbitrage‐free dynamics; volatility‐smile representation ...
Xuan Feng, Salman Huseynov, Diomides Mavroyiannis   +2 more
wiley   +1 more source

Hidden Vibrational Bistability Revealed by Intrinsic Fluctuations of a Carbon Nanotube. [PDF]

Nano Lett
Belardinelli P, Yang W, Bachtold A, Dykman MI, Alijani F.   +4 more
europepmc   +1 more source

The Nash Bargaining Solution vs. Equilibrium in a Reinsurance Syndicate [PDF]

We compare the Nash bargaining solution in a reinsurance syndicate to the competitive equilibrium allocation, focusing on uncertainty and risk aversion.
Aase, Knut K.
core  

Density‐Valued ARMA Models by Spline Mixtures

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper proposes a novel framework for modeling time series of probability density functions by extending autoregressive moving average (ARMA) models to density‐valued data. The method is based on a transformation approach, wherein each density function on a compact domain [0,1]d$$ {\left[0,1\right]}^d $$ is approximated by a B‐spline ...
Yasumasa Matsuda, Rei Iwafuchi
wiley   +1 more source

An analytic, efficient and optimal readout algorithm for compact interferometers based on deep frequency modulation. [PDF]

Sci Rep
Eckhardt T, Gerberding O.
europepmc   +1 more source

Reinforcement Learning for Jump‐Diffusions, With Financial Applications

Mathematical Finance, EarlyView.
ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley   +1 more source

Noise Transfer Approach to GKP Quantum Circuits. [PDF]

Entropy (Basel)
Ralph TC, Winnel MS, Swain SN, Marshman RJ.   +3 more
europepmc   +1 more source

The Optimal Mean–Variance Selling Problem With Finite Horizon

Mathematical Finance, EarlyView.
ABSTRACT The optimal mean–variance selling problem seeks to determine a dynamically optimal stopping time in the nonlinear problem sup0≤τ≤TE(Xτ)−cVar(Xτ)$\sup _{0 \le \tau \le T} \left[ \mathsf {E}\,\!(X_\tau) - c\, \mathsf {V}ar\,\!(X_\tau) \right]$, where X$X$ is a geometric Brownian motion with strictly positive drift, the supremum is taken over ...
Peter Johnson, Jesper Lund Pedersen, Goran Peskir   +2 more
wiley   +1 more source

Quantum algorithms for viscosity solutions to nonlinear Hamilton-Jacobi equations based on an entropy penalization method. [PDF]

Proc Natl Acad Sci U S A
Jin S, Liu N.
europepmc   +1 more source

Reading Dürer in Late Sixteenth‐Century Padua: Matteo Macigni (ca. 1510–1582), His Library and the Annotated Institutionum geometricarum (Paris, 1535)

Renaissance Studies, EarlyView.
ABSTRACT This article contributes to the history of material culture and intellectual biography by definitively identifying the Paduan scholar Matteo Macigni (ca. 1510–1582) as the author of the annotations found in a 1535 copy of Albrecht Dürer’s Institutionum geometricarum currently preserved in Vicenza.
Laura Moretti
wiley   +1 more source