An affine term structure model is a financial model that relates zero-coupon bond prices (i.e. the discount curve) to a spot rate model. It is particularly...

Hull–White model. The Vasicek model is also a canonical example of the affine term structure model, along with the Cox–Ingersoll–Ross model. In recent...

Rutgers University.[permanent dead link] Wibowo A. (2006). Continuous-time identification of exponential-affine term structure models. Twente University....

value of the T-maturity discount bond has distribution (note the affine term structure here!) P ( S , T ) = A ( S , T ) exp ⁡ ( − B ( S , T ) r ( S ) )...

In differential geometry, an affine connection is a geometric object on a smooth manifold which connects nearby tangent spaces, so it permits tangent vector...

general equilibrium Feynman–Kac formula Black–Scholes equation Affine term structure modeling Fokker–Planck equation Dupire equation (local volatility)...

affine transformation is an automorphism of an affine space (Euclidean spaces are specific affine spaces), that is, a function which maps an affine space...

In mathematics, an affine space is a geometric structure that generalizes some of the properties of Euclidean spaces in such a way that these are independent...

Novikov and Edward Witten. A WZW model is associated to a Lie group (or supergroup), and its symmetry algebra is the affine Lie algebra built from the corresponding...

referred to as the CIR- and CIR-- models. Hull–White model Vasicek model Chen model "A Theory of the Term Structure of Interest Rates - The Econometric...

categories. Affine types are a version of linear types allowing to discard (i.e. not use) a resource, corresponding to affine logic. An affine resource can...

Short rate models are often classified as endogenous and exogenous. Endogenous short rate models are short rate models where the term structure of interest...

structure and the cross-ratio are preserved under the most general projective transformations. A concept of parallelism, which is preserved in affine...

geometries, and abstract closure operators influence the structure of first-order models is called geometric stability theory. If V {\displaystyle V}...

equation to price options on stocks and zero-coupon bond prices in affine term structure models. For example, consider a stock price S t {\displaystyle S_{t}}...

properties of Euclidean spaces result from the structure of affine space. They are described in § Affine structure and its subsections. The properties resulting...

length of gaps. The five main types of gap penalties are constant, linear, affine, convex, and profile-based. Genetic sequence alignment - In bioinformatics...

variety (not embedded in projective space), by gluing affine varieties along open subsets, on the model of abstract manifolds in topology. He needed this...

language expressing statements about a mathematical structure), and their models (those structures in which the statements of the theory hold). The aspects...

Nambu involving the "vacuum structure" of quantum fields in superconductivity. A similar but distinct effect (involving an affine realization of what is now...

work on consistency problems for Heath-Jarrow-Morton interest rate models and affine processes and applications in finance. From 2002 to 2003 he was an...

values of the explanatory variables (or predictors) is assumed to be an affine function of those values; less commonly, the conditional median or some...

the affine connection as the fundamental structure field rather than the metric tensor which was the original focus of general relativity. Affine connection...

performed for the parameters of the affine transformation relating the model to the image. The affine transformation of a model point [x y]T to an image point...

x_{1})} after every Real NVP layer. In generative flow model, each layer has 3 parts: channel-wise affine transform y c i j = s c ( x c i j + b c ) {\displaystyle...

point. For example, the point associated to the zero ideal for any integral affine scheme. F(n), F(D) 1.  If X is a projective scheme with Serre's twisting...

the Flow of Funds”, “Estimating Rational Expectations Models” and “Affine Term Structure Models”. She is also working on papers related to Taylor Rules...

features, and then uses RANSAC to find the affine projection matrix which best fits the unified object model to the 2D scene. If this RANSAC approach has...

having vanishing geodesic curvature. More generally, in the presence of an affine connection, a geodesic is defined to be a curve whose tangent vectors remain...

be viewed as the extension of a Euclidean space, or, more generally, an affine space with points at infinity, in such a way that there is one point at...