We investigate whether the same finite dimensional dynamic system spans both interest
rates (the yield curve) and interest rate options (the implied volatility surface). We find that the …

Due to the near unit-root behavior of interest rates, changes in individual interest-rate series
are difficult to forecast. We propose an innovative way of applying dynamic term structure …

The Federal Reserve adjusts the federal funds target rate discretely, causing discontinuity in
short-term interest rates. Unlike Poisson jumps, these adjustments are well anticipated by …

Dynamic term structure models explain the yield curve variation well but perform poorly in
pricing and hedging interest rate options. Most existing option pricing practices take the yield …

Given N real numbers whose sum is an integer, we study the problem of finding N integers
which match these real numbers as closely as possible, in the sense of Lp norm, while …

The US agency mortgage backed securities (MBS) market is deep and highly liquid, yet
modeling MBS is extremely challenging. This paper applies market participants' desired …

Dynamic term structure models price interest rate options based on the model-implied fair
values of the yield curve, ignoring any pricing residuals on the yield curve that are either from …

In this paper we develop a statistical theory and an implementation of deep learning models.
We show that an elegant variable splitting scheme for the alternating direction method of …

Dynamic term structure models (DTSMs) price interest rate derivatives based on the modelimplied
fair values of the yield curve, ignoring any pricing residuals on the yield curve that are …

… ⋆ Industrial Engineering and Operations Research, Columbia University, ali.hirsa@columbia.edu
Chief Scientific Officer, Ask2.ai, ali.hirsa@ask2.ai ⋆⋆ Massoud Heidari contributed to …