11 citations · 19 across the 5 of their papers we have counts for
4 papers · 1 filter
Consistent Re-Calibration of the Discrete-Time Multifactor Vasiček Model
Philipp Harms, David Stefanovits, Josef Teichmann +1
The discrete-time multifactor Vasiček model is a tractable Gaussian spot rate model. Typically, two- or three-factor versions allow one to capture the dependence structure between…
Affine representations of fractional processes with applications in mathematical finance
Philipp Harms, David Stefanovits
Fractional processes have gained popularity in financial modeling due to the dependence structure of their increments and the roughness of their sample paths. The non-Markovianity…
Two-Armed Restless Bandits with Imperfect Information: Stochastic Control and Indexability
Roland Fryer, Philipp Harms
We present a two-armed bandit model of decision making under uncertainty where the expected return to investing in the "risky arm" increases when choosing that arm and decreases wh…
Consistent Recalibration of Yield Curve Models
Philipp Harms, David Stefanovits, Josef Teichmann +1
The analytical tractability of affine (short rate) models, such as the Vasicek and the Cox-Ingersoll-Ross models, has made them a popular choice for modelling the dynamics of inter…