Relevant bibliographies by topics / Interest rate models – Mathematical models

Academic literature on the topic 'Interest rate models – Mathematical models'

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Published: 4 June 2021
Last updated: 11 February 2022

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Journal articles on the topic "Interest rate models – Mathematical models"

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Zhu, You-Lan. "Three-factor interest rate models." Communications in Mathematical Sciences 1, no. 3 (2003): 557–73. http://dx.doi.org/10.4310/cms.2003.v1.n3.a8.

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Di Persio, Luca, Gregorio Pellegrini, and Michele Bonollo. "Polynomial Chaos Expansion Approach to Interest Rate Models." Journal of Probability and Statistics 2015 (2015): 1–24. http://dx.doi.org/10.1155/2015/369053.

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The Polynomial Chaos Expansion (PCE) technique allows us to recover a finite second-order random variable exploiting suitable linear combinations of orthogonal polynomials which are functions of a given stochastic quantityξ, hence acting as a kind of random basis. The PCE methodology has been developed as a mathematically rigorous Uncertainty Quantification (UQ) method which aims at providing reliable numerical estimates for some uncertain physical quantities defining the dynamic of certain engineering models and their related simulations. In the present paper, we use the PCE approach in order to analyze some equity and interest rate models. In particular, we take into consideration those models which are based on, for example, the Geometric Brownian Motion, the Vasicek model, and the CIR model. We present theoretical as well as related concrete numerical approximation results considering, without loss of generality, the one-dimensional case. We also provide both an efficiency study and an accuracy study of our approach by comparing its outputs with the ones obtained adopting the Monte Carlo approach, both in its standard and its enhanced version.
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Yanishevskyi, V. S., and L. S. Nodzhak. "The path integral method in interest rate models." Mathematical Modeling and Computing 8, no. 1 (2020): 125–36. http://dx.doi.org/10.23939/mmc2021.01.125.

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An application of path integral method to Merton and Vasicek stochastic models of interest rate is considered. Two approaches to a path integral construction are shown. The first approach consists in using Wieners measure with the following substitution of solutions of stochastic equations into the models. The second approach is realised by using transformation from Wieners measure to the integral measure related to the stochastic variables of Merton and Vasicek equations. The introduction of boundary conditions is considered in the second approach in order to remove incorrect time asymptotes from the classic Merton and Vasicek models of interest rates. By the example of Merton model with zero drift, a Dirichlet boundary condition is considered. A path integral representation of term structure of interest rate is obtained. The estimate of the obtained path integrals is performed, where it is shown that the time asymptote is limited.
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CHEN, XINFU, and JIN LIANG. "A double obstacle model for pricing bi-leg defaultable interest rate swaps." European Journal of Applied Mathematics 31, no. 3 (September 4, 2019): 511–43. http://dx.doi.org/10.1017/s0956792519000184.

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Two mathematical models under so-called intensity and structure frameworks to pricing a double defaultable interest rate swap are established. The default could happen or jump to a high probability in both fixed and floating parties on the predetermined boundaries. The models lead to a new and interesting mathematical problem. As the intensity approaches infinity in designated regions, the solutions of the intensity models converge to a solution of a structure-type model which is an initial value problem of a partial differential equation coupled with two obstacles problem in their restricted regions. According to the value of the fixed rate, three cases are discussed. The free boundary that determines the swap rate and the free boundaries that determine the earlier termination of the contract (due to counterparty’s default) are analysed.
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Rainer, Martin. "Calibration of stochastic models for interest rate derivatives." Optimization 58, no. 3 (April 2009): 373–88. http://dx.doi.org/10.1080/02331930902741796.

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Jamshidian, F. "A simple class of square-root interest-rate models." Applied Mathematical Finance 2, no. 1 (March 1995): 61–72. http://dx.doi.org/10.1080/13504869500000004.

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Rebonato, Riccardo. "Review Paper. Interest–rate term–structure pricing models: a review." Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences 460, no. 2043 (March 8, 2004): 667–728. http://dx.doi.org/10.1098/rspa.2003.1255.

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Slinko, Irina. "ON FINITE DIMENSIONAL REALIZATIONS OF TWO-COUNTRY INTEREST RATE MODELS." Mathematical Finance 20, no. 1 (January 2010): 117–43. http://dx.doi.org/10.1111/j.1467-9965.2009.00392.x.

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Mancini, Cecilia, and Roberto Renò. "Threshold estimation of Markov models with jumps and interest rate modeling." Journal of Econometrics 160, no. 1 (January 2011): 77–92. http://dx.doi.org/10.1016/j.jeconom.2010.03.019.

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Ferreiro, Ana M., José A. García-Rodríguez, José G. López-Salas, and Carlos Vázquez. "SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives." Applied Mathematics and Computation 242 (September 2014): 65–89. http://dx.doi.org/10.1016/j.amc.2014.05.017.

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Dissertations / Theses on the topic "Interest rate models – Mathematical models"

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Ziervogel, Graham. "Hedging performance of interest-rate models." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20482.

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This dissertation is a hedging back-study which assesses the effectiveness of interest- rate modelling and the hedging of interest-rate derivatives. Caps that trade in the Johannesburg swap market are hedged using two short-rate models, namely the Hull and White (1990) one-factor model and the subsequent Hull and White (1994) two-factor extension. This is achieved by using the equivalent Gaussian additive-factor models (G1++ and G2++) outlined by Brigo and Mercurio (2007). The hedges are constructed using different combinations of theoretical zero-coupon bonds. A flexible factor hedging method is proposed by the author and the bucket hedging technique detailed by Driessen, Klaasen and Melenberg (2003) is tested. The results obtained support the claims made by Gupta and Subrahmanyam (2005), Fan, Gupta and Ritchken (2007) and others in the literature that multi-factor models outperform one-factor models in hedging interest-rate derivatives. It is also shown that the choice of hedge instruments can significantly influence hedge performance. Notably, a larger set of hedge instruments and the use of hedge instruments with the same maturity as the derivative improve hedging accuracy. However, no evidence to support the finding of Driessen et al. (2003) that a larger set of hedge instruments can remove the need for a multi-factor model is found.
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Mbongo, Nkounga Jeffrey Ted Johnattan. "Building Interest Rate Curves and SABR Model Calibration." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96965.

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Thesis (MSc)--Stellenbosch University
ENGLISH ABSTRACT : In this thesis, we first review the traditional pre-credit crunch approach that considers a single curve to consistently price all instruments. We review the theoretical pricing framework and introduce pricing formulas for plain vanilla interest rate derivatives. We then review the curve construction methodologies (bootstrapping and global methods) to build an interest rate curve using the instruments described previously as inputs. Second, we extend this work in the modern post-credit framework. Third, we review the calibration of the SABR model. Finally we present applications that use interest rate curves and SABR model: stripping implied volatilities, transforming the market observed smile (given quotes for standard tenors) to non-standard tenors (or inversely) and calibrating the market volatility smile coherently with the new market evidences.
AFRIKAANSE OPSOMMING : Geen Afrikaanse opsomming geskikbaar nie
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Luo, Xingguo, and 骆兴国. "Two essays on interest rate and volatility term structures." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B44921251.

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O???Brien, Peter Banking &amp Finance Australian School of Business UNSW. "Term structure modelling and the dynamics of Australian interest rates." Awarded by:University of New South Wales. School of Banking and Finance, 2006. http://handle.unsw.edu.au/1959.4/28283.

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This thesis consists of two related parts. In the first part we conduct an empirical examination of the dynamics of Australian interest rates of six different maturities, covering the whole yield curve. This direct study of the long rates is quite novel. We use maximum likelihood estimation on a variety of models and find some results that are in stark contrast to previous studies. We estimate Poisson-jump diffusion (PJD) models and find very strong evidence for the existence of jumps in all daily interest rate series. We find that the PJD model fits short-rate data significantly better than a Bernoulli-jump diffusion model. We also estimate the CKLS model for our data and find that the only model not rejected for all six maturities is the CEV model in stark contrast to previous findings. Also, we find that the elasticity of variance estimate in the CKLS model is much higher for the short-rates than for the longer rates where the estimate is only about 0.25, indicating that different dynamics seem to be at work for different maturities. We also found that adding jumps to the simple diffusion model gives a larger improvement than comes from going from the simple diffusion to the CKLS model. In the second part of the thesis we examine the Flesaker and Hughston (FH) term structure model. We derive the dynamics of the short rate under both the original measure and the risk-neutral measure, and show that some criticisms of the bounds for the short rate may not be significant in actual applications. We also derive the dynamics of bond prices in the FH model and compare them to the HJM model. We also extend the FH model by allowing the martingale to follow a jump-diffusion process, rather than just a diffusion process. We derive the unique change of measure that guarantees the family of bond prices is arbitrage-free. We derive prices for caps and swaptions, and extend the results to include Bermudan swaptions and show how to price options with the jump-diffusion version of the FH model.
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Zhang, Hua 1962. "The dynamic behaviour of the term structure of interest rates and its implication for interest-rate sensitive asset pricing." Thesis, McGill University, 1993. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=41168.

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This thesis investigates the fundamental assumptions made in recent continuous-time equilibrium models of the term structure of interest rates. It finds that the number and the stochastic processes of state variables are strikingly different from those assumed in the literature. It develops a three-factor empirical term structure model, based on 22 years of cross-maturity time series data. The results show that the price differences, between the well-known Vasicek, and Cox, Ingersoll and Ross models and the three-factor empirical model, for interest-rate sensitive securities are of substantial economic significance.
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Ezzine, Ahmed. "Some topics in mathematical finance. Non-affine stochastic volatility jump diffusion models. Stochastic interest rate VaR models." Doctoral thesis, Universite Libre de Bruxelles, 2004. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/211156.

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Tsujimoto, Tsunehiro. "Calibration of the chaotic interest rate model." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/2568.

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In this thesis we establish a relationship between the Potential Approach to interest rates and the Market Models. This relationship allows us to derive the dynamics of forward LIBOR rates and forward swap rates by modelling the state price density. It means that we are able to secure the arbitrage-free condition and positive interest rate feature when we model the volatility drifts of those dynamics. On the other hand, we develop the Potential Approach, particularly the Hughston-Rafailidis Chaotic Interest Rate Model. The early argument enables us to infer that the Chaos Models belong to the Stochastic Volatility Market Models. In particular, we propose One-variable Chaos Models with the application of exponential polynomials. This maintains the generality of the Chaos Models and performs well for yield curves comparing with the Nelson-Siegel Form and the Svensson Form. Moreover, we calibrate the One-variable Chaos Model to European Caplets and European Swaptions. We show that the One-variable Chaos Models can reproduce the humped shape of the term structure of caplet volatility and also the volatility smile/skew curve. The calibration errors are small compared with the Lognormal Forward LIBOR Model, the SABR Model, traditional Short Rate Models, and other models under the Potential Approach. After the calibration, we introduce some new interest rate models under the Potential Approach. In particular, we suggest a new framework where the volatility drifts can be indirectly modelled from the short rate via the state price density.
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Mutengwa, Tafadzwa Isaac. "An analysis of the Libor and Swap market models for pricing interest-rate derivatives." Thesis, Rhodes University, 2012. http://hdl.handle.net/10962/d1005535.

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This thesis focuses on the non-arbitrage (fair) pricing of interest rate derivatives, in particular caplets and swaptions using the LIBOR market model (LMM) developed by Brace, Gatarek, and Musiela (1997) and Swap market model (SMM) developed Jamshidan (1997), respectively. Today, in most financial markets, interest rate derivatives are priced using the renowned Black-Scholes formula developed by Black and Scholes (1973). We present new pricing models for caplets and swaptions, which can be implemented in the financial market other than the Black-Scholes model. We theoretically construct these "new market models" and then test their practical aspects. We show that the dynamics of the LMM imply a pricing formula for caplets that has the same structure as the Black-Scholes pricing formula for a caplet that is used by market practitioners. For the SMM we also theoretically construct an arbitrage-free interest rate model that implies a pricing formula for swaptions that has the same structure as the Black-Scholes pricing formula for swaptions. We empirically compare the pricing performance of the LMM against the Black-Scholes for pricing caplets using Monte Carlo methods.
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Alfeus, Mesias. "Heath–Jarrow–Morton models with jumps." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96783.

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Thesis (MSc)--Stellenbosch University, 2015.
ENGLISH ABSTRACT : The standard-Heath–Jarrow–Morton (HJM) framework is well-known for its application to pricing and hedging interest rate derivatives. This study implemented the extended HJM framework introduced by Eberlein and Raible (1999), in which a Brownian motion (BM) is replaced by a wide class of processes with jumps. In particular, the HJM driven by the generalised hyperbolic processes was studied. This approach was motivated by empirical evidence proving that models driven by a Brownian motion have several shortcomings, such as inability to incorporate jumps and leptokurticity into the price dynamics. Non-homogeneous Lévy processes and the change of measure techniques necessary for simplification and derivation of pricing formulae were also investigated. For robustness in numerical valuation, several transform methods were investigated and compared in terms of speed and accuracy. The models were calibrated to liquid South African data (ATM) interest rate caps using two methods of optimisation, namely the simulated annealing and secant-Levenberg–Marquardt methods. Two numerical valuation approaches had been implemented in this study, the COS method and the fractional fast Fourier transform (FrFT), and were compared to the existing methods in the context. Our numerical results showed that these two methods are quite efficient and very competitive. We have chose the COS method for calibration due to its rapidly speed and we have suggested a suitable approach for truncating the integration range to address the problems it has with short-maturity options. Our calibration results provided a nearly perfect fit, such that it was difficult to decide which model has a better fit to the current market state. Finally, all the implementations were done in MATLAB and the codes included in appendices.
AFRIKAANSE OPSOMMING : Die standaard-Heath–Jarrow–Morton-raamwerk (kortom die HJM-raamwerk) is daarvoor bekend dat dit op die prysbepaling en verskansing van afgeleide finansiële instrumente vir rentekoerse toegepas kan word. Hierdie studie het die uitgebreide HJM-raamwerk geïmplementeer wat deur Eberlein en Raible (1999) bekendgestel is en waarin ’n Brown-beweging deur ’n breë klas prosesse met spronge vervang word. In die besonder is die HJM wat deur veralgemeende hiperboliese prosesse gedryf word ondersoek. Hierdie benadering is gemotiveer deur empiriese bewyse dat modelle wat deur ’n Brown-beweging gedryf word verskeie tekortkominge het, soos die onvermoë om spronge en leptokurtose in prysdinamika te inkorporeer. Nie-homogene Lévy-prosesse en die maatveranderingstegnieke wat vir die vereenvoudiging en afleiding van prysbepalingsformules nodig is, is ook ondersoek. Vir robuustheid in numeriese waardasie is verskeie transformmetodes ondersoek en ten opsigte van spoed en akkuraatheid vergelyk. Die modelle is vir likiede Suid-Afrikaanse data vir boperke van rentekoerse sonder intrinsieke waarde gekalibreer deur twee optimiseringsmetodes te gebruik, naamlik die gesimuleerde uitgloeimetode en die sekans-Levenberg–Marquardt-metode. Twee benaderings tot numeriese waardasie is in hierdie studie gebruik, naamlik die kosinusmetode en die fraksionele vinnige Fourier-transform, en met bestaande metodes in die konteks vergelyk. Die numeriese resultate het getoon dat hierdie twee metodes redelik doeltreffend en uiters mededingend is. Ons het op grond van die motiveringspoed van die kosinus-metode daardie metode vir kalibrering gekies en ’n geskikte benadering tot die trunkering van die integrasiereeks voorgestel ten einde die probleem ten opsigte van opsies met kort uitkeringstermyne op te los. Die kalibreringsresultate het ’n byna perfekte passing gelewer, sodat dit moeilik was om te besluit watter model die huidige marksituasie die beste pas. Ten slotte is alle implementerings in MATLAB gedoen en die kodes in bylaes ingesluit.
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Nguyen, Hai Nam. "Contributions to credit risk and interest rate modeling." Thesis, Evry-Val d'Essonne, 2014. http://www.theses.fr/2013EVRY0038.

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Cette thèse traite de plusieurs sujets en mathématiques financières: risque de crédit, optimisation de portefeuille et modélisation des taux d’intérêts. Le chapitre 1 consiste en trois études dans le domaine du risque de crédit. La plus innovante est la première dans laquel nous construisons un modèle tel que la propriété d’immersion n’est vérifiée sous aucune mesure martingale équivalente. Le chapitre 2 étudie le problème de maximisation de la somme d’une utilité de la richesse terminale et d’une utilité de la consommation. Le chapitre 3 étudie l’évaluation des produits dérivés de taux d’intérêt dans un cadre multicourbe, qui prend en compte la différence entre une courbe de taux sans risque et des courbes de taux Libor de différents tenors
This thesis deals with several topics in mathematical finance: credit risk, portfolio optimization and interest rate modeling. Chapter 1 consists of three studies in the field of credit risk. The most innovative is the first one, where we construct a model such that the immersion property does not hold under any equivalent martingale measure. Chapter 2 studies the problem of maximization of the sum of the utility of the terminal wealth and the utility of the consumption, in a case where a sudden jump in the risk-free interest rate induces market incompleteness. Chapter 3 studies the valuation of Libor interest rate derivatives in a multiple-curve setup, which accounts for the spreads between a risk-free discount curve and Libor curves of different tenors
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Books on the topic "Interest rate models – Mathematical models"

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Interest rate models: An introduction. Princeton, NJ: Princeton University Press, 2004.

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Cairns, Andrew. Interest rate models: An introduction. Princeton, NJ: Princeton University Press, 2003.

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Interest-rate option models: Understanding, analysing and using models for exotic interest-rate options. Chichester: Wiley, 1996.

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Interest-rate option models: Understanding, analysing and using models for exotic interest-rate options. 2nd ed. Chichester: Wiley, 1998.

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Interest rate modelling. New York: Palgrave Macmillan, 2004.

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Federer, Vaaler Leslie Jane, ed. Mathematical interest theory. Upper Saddle River, N.J: Pearson/Prentice Hall, 2007.

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International term structure models: Global models of interest rate and foreign exchange rate risk. Bern: Verlag Paul Haupt, 1999.

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V, Piterbarg Vladimir, ed. Interest rate modeling. London: Atlantic Financial Press, 2010.

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Bernanke, Ben. On the predictive power of interest rates and interest rate spreads. Cambridge, MA: National Bureau of Economic Research, 1990.

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W, Daniel James, ed. Mathematical Interest Theory. 2nd ed. Washington, DC: Mathematical Association of America, 2008.

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Book chapters on the topic "Interest rate models – Mathematical models"

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Albrecher, Hansjoerg, Andreas Binder, Volkmar Lautscham, and Philipp Mayer. "Interest Rate Models." In Compact Textbooks in Mathematics, 91–102. Basel: Springer Basel, 2013. http://dx.doi.org/10.1007/978-3-0348-0519-3_9.

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Björk, Tomas. "On the Geometry of Interest Rate Models." In Lecture Notes in Mathematics, 133–215. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-540-44468-8_2.

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Kordzakhia, Nino, Alexander Novikov, and Gurami Tsitsiashvili. "On ruin probabilities in risk models with interest rate." In Mathematical and Statistical Methods for Actuarial Sciences and Finance, 245–53. Milano: Springer Milan, 2012. http://dx.doi.org/10.1007/978-88-470-2342-0_29.

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Biagini, Francesca. "A Quadratic Approach To Interest Rates Models In Incomplete Markets." In Mathematical Finance, 89–98. Basel: Birkhäuser Basel, 2001. http://dx.doi.org/10.1007/978-3-0348-8291-0_8.

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Bao, Jianhai, George Yin, and Chenggui Yuan. "Stochastic Interest Rate Models with Memory: Long-Term Behavior." In SpringerBriefs in Mathematics, 113–28. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-46979-9_5.

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Zhang, Wei-Bin. "Prices, Growth Rates and Interest Rates in the Dynamic Context of Multisector Models." In Lecture Notes in Economics and Mathematical Systems, 75–100. Berlin, Heidelberg: Springer Berlin Heidelberg, 1990. http://dx.doi.org/10.1007/978-3-642-86480-3_5.

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Eberlein, Ernst, and Jan Kallsen. "Interest Rate Models." In Springer Finance, 663–731. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-26106-1_14.

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Gianin, Emanuela Rosazza, and Carlo Sgarra. "Interest Rate Models." In UNITEXT, 201–32. Cham: Springer International Publishing, 2013. http://dx.doi.org/10.1007/978-3-319-01357-2_10.

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Choe, Geon Ho. "Interest Rate Models." In Universitext, 421–41. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-25589-7_23.

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Witzany, Jiří. "Interest Rate Models." In Springer Texts in Business and Economics, 261–87. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-51751-9_7.

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Conference papers on the topic "Interest rate models – Mathematical models"

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Neema, Shantanu, Lakitosh Singh, Felipe Chiquiza, Joy First, Chris Collier, Thet Oo, Kalyan Katla, and Devon Martin. "Data-Driven Performance Optimization in Section Milling." In Offshore Technology Conference. OTC, 2021. http://dx.doi.org/10.4043/30936-ms.

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Abstract One of the major efforts in Oil and Gas industry's digital transformation is the increased use of data in optimizing processes. This paper focuses on optimizing the process of section-milling during well abandonment by leveraging data gathered from past section-milling cycles. Several mathematical model-based techniques have been presented in recent years for improving the rate of penetration (ROP) in section-milling. However, only a few data-driven methodologies have been adopted in this field of interest, most likely due to unavailability of data. A trainingsubset of field data from section-milling operations is used for developing a range of machine learning models. Performance of these models is then evaluated using mean absolute percentage error (MAPE) against testing subset of data.
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Liu, Jing. "Analogy Between Heat and Mass Transfer Leads to New Oxygen Transport Equations in Vascularized Biological Tissues." In ASME 2004 International Mechanical Engineering Congress and Exposition. ASMEDC, 2004. http://dx.doi.org/10.1115/imece2004-61102.

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Mathematical modeling of oxygen transport in living tissues has been an important approach for quantitatively understanding the physiological events. In a vascularized biological tissue, blood flow plays an important role in the local transport of oxygen, nutrients, pharmaceuticals, waste products and heat through the body. However, most of the existing oxygen transport models take few considerations of the anatomical structure. Therefore, disagreements among the theoretical predictions and the experimental measurements are common in those studies. This is because geometrical irregularity of the vascular structure remained to be a major obstacle for the accurate modeling. In fact, it has long been a desirable objective to establish a quantitative and generalized model, which is mathematically tractable in the region of interest and considering the detailed anatomical vascular geometry. In this paper, following the theoretical strategy through analogy between the heat and mass transport, the well-established Pennes equation, Chen-Holmes equation, and Weinbaum-Jiji (W-J) equation, etc. were implemented to develop the basic equations for characterizing the oxygen transport inside a vascularized tissue. These models have collectively included the contributions of the vascular geometry and the blood flow condition. As an illustration, predictions using the new model from W-J equation on several typical oxygen transfer problems were discussed. The theoretical results were applied to interpret some previous experimental observations. Further, uncertainties for the predicted oxygen concentrations of tissues due to approximate parameters and vascular structures were analyzed based on developing a generalized equation. Contributions from each of the thermal parameters such as diffusion coefficient, blood perfusion rate, and oxygen consumption rate of the tissues etc. can all be attributed to a single source term, which would make the model much convenient for practical use. The theoretical route proposed in this paper may provide a feasible way to comprehensively characterize the oxygen transport behaviors in living tissues with complex vasculature. It can also be extended to more wide mass transfer issues such as drug and nutrients delivery etc.
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Lortz, Wolfgang, and Radu Pavel. "Advanced Modeling of Drilling – Realistic Process Mechanics Leading to Helical Chip Formation." In ASME 2021 16th International Manufacturing Science and Engineering Conference. American Society of Mechanical Engineers, 2021. http://dx.doi.org/10.1115/msec2021-63790.

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Abstract There is considerable interest in the “Industry 4.0 project”. Industry hopes that a general solution of the metal removal problem will be found through the use of highly automated manufacturing data. Scientists hope that the computer will provide better models based on artificial intelligence and machine learning. Initial attempts leveraging existing models did not result in satisfactory results yet — largely because of mathematical, physical and metallurgical reasons. This paper presents a new mathematical-physical model to describe the total process mechanics from volume conservation, to friction, to metal plasticity with self-hardening or softening effects and dynamic phenomena during metal plastic flow. The softening effects are created by high energy corresponding to high strain-rate resulting in high temperatures. Furthermore, the developed equations for strain-rate discontinuities as well as yield shear stress with body forces have an interdependent relationship and lead to plastic deformation with dynamic behavior in the total chip formation zone. This plastic deformation is the only parameter that will not disappear after completing the process. This leads to the opportunity to check the theoretically developed grid deformation and compare it with practical results of the same area. In this publication this new theory will be used to analyze the complex contact and friction conditions between the chip and tool edge of a twist drill during operation. It will be shown that the existing conditions are leading to high wear at the corner edge and flank wear at the tool cutting edge. In addition, the existing temperatures can be estimated and compared with practical measurements, and all these complex and difficult conditions create a helical spiral chip, which could be developed as it will be presented in this paper.
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Maciel, Leandro, Fernando Gomide, and Rosangela Ballini. "MIMO evolving functional fuzzy models for interest rate forecasting." In 2012 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). IEEE, 2012. http://dx.doi.org/10.1109/cifer.2012.6327781.

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Wei, Xiang, and Ping Hu. "Actuarial models of life insurance with stochastic interest rate." In International Conference on Photonics and Image in Agriculture Engineering (PIAGENG 2009). SPIE, 2009. http://dx.doi.org/10.1117/12.836655.

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Ying, Khor Chia, and Pooi Ah Hin. "Prediction of interest rate using CKLS model with stochastic parameters." In PROCEEDINGS OF THE 3RD INTERNATIONAL CONFERENCE ON MATHEMATICAL SCIENCES. AIP Publishing LLC, 2014. http://dx.doi.org/10.1063/1.4882527.

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Soleymani, Fazlollah. "Option pricing under a financial model with stochastic interest rate." In SECOND INTERNATIONAL CONFERENCE OF MATHEMATICS (SICME2019). Author(s), 2019. http://dx.doi.org/10.1063/1.5097822.

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Ihedioha, Silas A. "Optimal investment and consumption decision for an investor with Ornstein-Uhlenbeck Stochastic interest rate model through utility maximization." In PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON MATHEMATICAL SCIENCES AND TECHNOLOGY 2018 (MATHTECH2018): Innovative Technologies for Mathematics & Mathematics for Technological Innovation. AIP Publishing, 2019. http://dx.doi.org/10.1063/1.5136411.

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Galgani, L., A. Carati, and B. Pozzi. "The Problem of the Rate of Thermalization, and the Relations between Classical and Quantum Mechanics." In Mathematical Models and Methods for Smart Materials. WORLD SCIENTIFIC, 2002. http://dx.doi.org/10.1142/9789812776273_0011.

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Jia, N. N., H. Yang, and J. B. Yang. "Actuarial Pricing Models of Reverse Mortgage with the Stochastic Interest Rate." In 2015 International Conference on Economics, Social Science, Arts, Education and Management Engineering. Paris, France: Atlantis Press, 2015. http://dx.doi.org/10.2991/essaeme-15.2015.137.

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Reports on the topic "Interest rate models – Mathematical models"

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Ait-Sahalia, Yacine. Testing Continuous-Time Models of the Spot Interest Rate. Cambridge, MA: National Bureau of Economic Research, November 1995. http://dx.doi.org/10.3386/w5346.

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Hafer, R. W., and Scott E. Hein. Forecasting Inflation Using Interest Rate and Time-Series Models: Some International Evidence. Federal Reserve Bank of St. Louis, 1988. http://dx.doi.org/10.20955/wp.1988.001.

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Tucker-Blackmon, Angelicque. Engagement in Engineering Pathways “E-PATH” An Initiative to Retain Non-Traditional Students in Engineering Year Three Summative External Evaluation Report. Innovative Learning Center, LLC, July 2020. http://dx.doi.org/10.52012/tyob9090.

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The summative external evaluation report described the program's impact on faculty and students participating in recitation sessions and active teaching professional development sessions over two years. Student persistence and retention in engineering courses continue to be a challenge in undergraduate education, especially for students underrepresented in engineering disciplines. The program's goal was to use peer-facilitated instruction in core engineering courses known to have high attrition rates to retain underrepresented students, especially women, in engineering to diversify and broaden engineering participation. Knowledge generated around using peer-facilitated instruction at two-year colleges can improve underrepresented students' success and participation in engineering across a broad range of institutions. Students in the program participated in peer-facilitated recitation sessions linked to fundamental engineering courses, such as engineering analysis, statics, and dynamics. These courses have the highest failure rate among women and underrepresented minority students. As a mixed-methods evaluation study, student engagement was measured as students' comfort with asking questions, collaboration with peers, and applying mathematics concepts. SPSS was used to analyze pre-and post-surveys for statistical significance. Qualitative data were collected through classroom observations and focus group sessions with recitation leaders. Semi-structured interviews were conducted with faculty members and students to understand their experiences in the program. Findings revealed that women students had marginalization and intimidation perceptions primarily from courses with significantly more men than women. However, they shared numerous strategies that could support them towards success through the engineering pathway. Women and underrepresented students perceived that they did not have a network of peers and faculty as role models to identify within engineering disciplines. The recitation sessions had a positive social impact on Hispanic women. As opportunities to collaborate increased, Hispanic womens' social engagement was expected to increase. This social engagement level has already been predicted to increase women students' persistence and retention in engineering and result in them not leaving the engineering pathway. An analysis of quantitative survey data from students in the three engineering courses revealed a significant effect of race and ethnicity for comfort in asking questions in class, collaborating with peers outside the classroom, and applying mathematical concepts. Further examination of this effect for comfort with asking questions in class revealed that comfort asking questions was driven by one or two extreme post-test scores of Asian students. A follow-up ANOVA for this item revealed that Asian women reported feeling excluded in the classroom. However, it was difficult to determine whether these differences are stable given the small sample size for students identifying as Asian. Furthermore, gender differences were significant for comfort in communicating with professors and peers. Overall, women reported less comfort communicating with their professors than men. Results from student metrics will inform faculty professional development efforts to increase faculty support and maximize student engagement, persistence, and retention in engineering courses at community colleges. Summative results from this project could inform the national STEM community about recitation support to further improve undergraduate engineering learning and educational research.
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Roye, Thorsten. Unsettled Technology Areas in Deterministic Assembly Approaches for Industry 4.0. SAE International, August 2021. http://dx.doi.org/10.4271/epr2021018.

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Increased production rates and cost reduction are affecting manufacturing in all sectors of the mobility industry. One enabling methodology that could achieve these goals in the burgeoning “Industry 4.0” environment is the deterministic assembly (DA) approach. The DA approach is defined as an optimized assembly process; it always forms the same final structure and has a strong link to design-for-assembly and design-for-automation methodologies. It also looks at the whole supply chain, enabling drastic savings at the original equipment manufacturer (OEM) level by reducing recurring costs and lead time. Within Industry 4.0, DA will be required mainly for the aerospace and the space industry, but serves as an interesting approach for other industries assembling large and/or complex components. In its entirety, the DA approach connects an entire supply chain—from part manufacturing at an elementary level to an OEM’s final assembly line level. Addressing the whole process of aircraft design and manufacturing is necessary to develop further collaboration models between OEMs and the supply chain, including addressing the most pressing technology challenges. Since all parts aggregate at the OEM level, the OEM—as an integrator of all these single parts—needs special end-to-end methodologies to drastically decrease cost and lead time. This holistic approach can be considered in part design as well (in the design-for-automation and design-for-assembly philosophy). This allows for quicker assembly at the OEM level, such as “part-to-part” or “hole-to-hole” approaches, versus traditional, classical assembly methods like manual measurement or measurement-assisted assembly. In addition, it can increase flexibility regarding rate changes in production (such as those due to pandemic- or climate-related environmental challenges). The standardization and harmonization of these areas would help all industries and designers to have a deterministic approach with an end-to-end concept. Simulations can easily compare possible production and assembly steps with different impacts on local and global tolerances. Global measurement feedback needs high-accuracy turnkey solutions, which are very costly and inflexible. The goal of standardization would be to use Industry 4.0 feedback and features, as well as to define several building blocks of the DA approach as a one-way assembly (also known as one-up assembly, or “OUA”), false one-way assembly, “Jig-as-Master,” etc., up to the hole-to-hole assembly approach. The evolution of these assembly principles and the link to simulation approaches are undefined and unsolved domains; they are discussed in this report. They must be discussed in greater depth with aims of (first) clarifying the scope of the industry-wide alignment needs and (second) prioritizing the issues requiring standardization. NOTE: SAE EDGE™ Research Reports are intended to identify and illuminate key issues in emerging, but still unsettled, technologies of interest to the mobility industry. The goal of SAE EDGE™ Research Reports is to stimulate discussion and work in the hope of promoting and speeding resolution of identified issues. SAE EDGE™ Research Reports are not intended to resolve the challenges they identify or close any topic to further scrutiny.
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McPhedran, R., K. Patel, B. Toombs, P. Menon, M. Patel, J. Disson, K. Porter, A. John, and A. Rayner. Food allergen communication in businesses feasibility trial. Food Standards Agency, March 2021. http://dx.doi.org/10.46756/sci.fsa.tpf160.

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Background: Clear allergen communication in food business operators (FBOs) has been shown to have a positive impact on customers’ perceptions of businesses (Barnett et al., 2013). However, the precise size and nature of this effect is not known: there is a paucity of quantitative evidence in this area, particularly in the form of randomised controlled trials (RCTs). The Food Standards Agency (FSA), in collaboration with Kantar’s Behavioural Practice, conducted a feasibility trial to investigate whether a randomised cluster trial – involving the proactive communication of allergen information at the point of sale in FBOs – is feasible in the United Kingdom (UK). Objectives: The trial sought to establish: ease of recruitments of businesses into trials; customer response rates for in-store outcome surveys; fidelity of intervention delivery by FBO staff; sensitivity of outcome survey measures to change; and appropriateness of the chosen analytical approach. Method: Following a recruitment phase – in which one of fourteen multinational FBOs was successfully recruited – the execution of the feasibility trial involved a quasi-randomised matched-pairs clustered experiment. Each of the FBO’s ten participating branches underwent pair-wise matching, with similarity of branches judged according to four criteria: Food Hygiene Rating Scheme (FHRS) score, average weekly footfall, number of staff and customer satisfaction rating. The allocation ratio for this trial was 1:1: one branch in each pair was assigned to the treatment group by a representative from the FBO, while the other continued to operate in accordance with their standard operating procedure. As a business-based feasibility trial, customers at participating branches throughout the fieldwork period were automatically enrolled in the trial. The trial was single-blind: customers at treatment branches were not aware that they were receiving an intervention. All customers who visited participating branches throughout the fieldwork period were asked to complete a short in-store survey on a tablet affixed in branches. This survey contained four outcome measures which operationalised customers’: perceptions of food safety in the FBO; trust in the FBO; self-reported confidence to ask for allergen information in future visits; and overall satisfaction with their visit. Results: Fieldwork was conducted from the 3 – 20 March 2020, with cessation occurring prematurely due to the closure of outlets following the proliferation of COVID-19. n=177 participants took part in the trial across the ten branches; however, response rates (which ranged between 0.1 - 0.8%) were likely also adversely affected by COVID-19. Intervention fidelity was an issue in this study: while compliance with delivery of the intervention was relatively high in treatment branches (78.9%), erroneous delivery in control branches was also common (46.2%). Survey data were analysed using random-intercept multilevel linear regression models (due to the nesting of customers within branches). Despite the trial’s modest sample size, there was some evidence to suggest that the intervention had a positive effect for those suffering from allergies/intolerances for the ‘trust’ (β = 1.288, p<0.01) and ‘satisfaction’ (β = 0.945, p<0.01) outcome variables. Due to singularity within the fitted linear models, hierarchical Bayes models were used to corroborate the size of these interactions. Conclusions: The results of this trial suggest that a fully powered clustered RCT would likely be feasible in the UK. In this case, the primary challenge in the execution of the trial was the recruitment of FBOs: despite high levels of initial interest from four chains, only one took part. However, it is likely that the proliferation of COVID-19 adversely impacted chain participation – two other FBOs withdrew during branch eligibility assessment and selection, citing COVID-19 as a barrier. COVID-19 also likely lowered the on-site survey response rate: a significant negative Pearson correlation was observed between daily survey completions and COVID-19 cases in the UK, highlighting a likely relationship between the two. Limitations: The trial was quasi-random: selection of branches, pair matching and allocation to treatment/control groups were not systematically conducted. These processes were undertaken by a representative from the FBO’s Safety and Quality Assurance team (with oversight from Kantar representatives on pair matching), as a result of the chain’s internal operational restrictions.
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