The one dimensional swap Markov-functional model
A comparison of Markov functional and market models : the one dimensional case
... market model. However, this is not representative of the way the model will be used in practice to price a callable deriva- tive, since this involves computation of the time-value of the derivative back- ...
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One-dimensional Bargaining with Markov Recognition Probabilities
... general Markov pro- cess and the acceptance of a proposal requires the approval of it by all the ...below one the subgame perfect equilibrium in stationary strategies is essentially unique and equal to what ...
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The stochastic volatility Markov functional model
... the swap rates at their setting dates, which is inconsistent with what we observed in the ...for one dimensional Markov-functional models with the Black’s ...the one step ...
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Atomistic to continuum coupling approximation of a one dimensional toy model for density functional theory
... atomistic model defined through an interaction field satisfying a variational principle and which can therefore be considered a toy model of (orbital-free) density functional ...atomistic model, ...
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Markov Functional Market Model nd Standard Market Model
... derivatives; one of the reasons is because an individual interest rate has a more complicated behaviour than that of a stock price or an exchange ...to model interest rate, the non-traded un- derlying asset ...
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Intertwining relations for one-dimensional diffusions and application to functional inequalities
... problem, one needs to impose boundary ...be Markov, in contrast to the one involved for instance with Dirichlet boundary conditions which is only sub-Markov, ...the one corresponding to ...
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Minimax estimation of a functional on a structured high-dimensional model
... the functional form of this dependence is ...study one conditions on a set of covariates to control for confounding, but the form of the dependence on the confounding variables is ...unknown. One may ...
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Persistent current and Drude weight for the one dimensional Hubbard model from current lattice density functional theory
... density functional theory (LDFT) for the one-dimensional repulsive Hubbard model is extended to current-LDFT ...of one-dimensional correlated electron ...
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Minority population in the one-dimensional Schelling model of segregation
... a Markov chain with 2 n states corresponding to the configurations that we get by varying the type of each node between α and ...blocks, one consisting of all the α-nodes and the other consisting of all the ...
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Demosaicking with two-dimensional continuous 3 × 3 order hidden Markov model
... Guogang Wang 1,2 Abstract Since most digital cameras use color filter arrays to sample red, green, and blue colors by a specific pattern, only one color sample would be taken at every pixel location. The process ...
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Markov functional and stochastic volatility modelling
... the one-dimensional SMF ...single-factor model but attempt to incorporate the information from a multi-factor ...HW model gives a much lower total gamma in magnitude compared with the MR ...HW ...
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Moderate deviations of functional of Markov Processes
... self-interacting one-dimensional process called the “true” self-repelling motion (TSRM), defined by Bálint Tóth and Wendelin Werner in [30] which were established in ...
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Moderate deviations of functional of Markov Processes
... self-interacting one-dimensional process called the “true” self-repelling motion (TSRM), defined by B´ alint T´oth and Wendelin Werner in [30] which were established in ...
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Electron localisation in static and time-dependent one-dimensional model systems
... Abstract. The most direct signature of electron localisation is the tendency of an electron in a many-body system to exclude other same-spin electrons from its vicinity. By applying this concept directly to the exact ...
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One-Dimensional Markov Random Fields, Markov Chains and Topological Markov Fields
... k →∞ μ(x 0 | x −1 , a i k L −r ), which does not depend on any of x −2 , x −3 , . . . , x −r . Therefore, μ(x 0 | x −1 , x −2 , . . . , x −r ) = μ(x0 | x −1 ). Since the only restriction on r is that it is a multiple of ...
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Stochastic monotonicity and duality for one dimensional Markov processes
... general one-dimensional Feller processes, extending the approach from ...corresponding Markov semigroup and process, including unbounded coefficients and processes on the ...
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Dynamo : a one dimensional primitive equation model
... The model is based on the primitive equations f o r an incompressible.. fluid in hydrostatic balance, i.e.[r] ...
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Large deviations for the one-dimensional Edwards model
... 1. Introduction and main results. A linear polymer is a long chain of atoms or molecules, often referred to as monomers, which have a tendency to repel each other. This self-repellence is due to the excluded-volume ...
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A peridynamic based machine learning model for one-dimensional and two-dimensional structures
... Figures 16 and 17 present the variations of displacement components of the plate. Figure 18 shows variations of displacement components along two centerlines x = L/2 and y = W/2. As can be seen from the figures, the ...
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Universal Thermodynamics of the One-Dimensional Attractive Hubbard Model
... Hubbard model plays an important role in understanding many- body phenomena such as superconductivity, BEC-BCS crossover and FFLO-like correlation [59–63], yet only relatively few publications touch upon it ...
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