Affine and generalized affine models : Theory and applications

Thèse numérisée par la Division de la gestion de documents et des archives de l'Université de Montréal

Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis

In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. We find that affine models do not provide adequate performance either in-sample or out-of-sample. On the contrary, parsimonious models such as Nelson and Siegel have adequate results in-sample, however out-of-sample they are not able to systematically improve upon random walk base forecast.

Ensaios sobre a estrutura a termo da taxa de juros

Esta tese é composta de três artigos que analisam a estrutura a termo das taxas de juros usando diferentes bases de dados e modelos. O capítulo 1 propõe um modelo paramétrico de taxas de juros que permite a segmentação e choques locais na estrutura a termo. Adotando dados do tesouro americano, duas versões desse modelo segmentado são implementadas. Baseado em uma sequência de 142 experimentos de previsão, os modelos propostos são comparados à benchmarks e concluí-se que eles performam melhor nos resultados das previsões fora da amostra, especialmente para as maturidades curtas e para o horizonte de previsão de 12 meses. O capítulo 2 acrescenta restrições de não arbitragem ao estimar um modelo polinomial gaussiano dinâmico de estrutura a termo para o mercado de taxas de juros brasileiro. Esse artigo propõe uma importante aproximação para a série temporal dos fatores de risco da estrutura a termo, que permite a extração do prêmio de risco das taxas de juros sem a necessidade de otimização de um modelo dinâmico completo. Essa metodologia tem a vantagem de ser facilmente implementada e obtém uma boa aproximação para o prêmio de risco da estrutura a termo, que pode ser usada em diferentes aplicações. O capítulo 3 modela a dinâmica conjunta das taxas nominais e reais usando um modelo afim de não arbitagem com variáveis macroeconômicas para a estrutura a termo, afim de decompor a diferença entre as taxas nominais e reais em prêmio de risco de inflação e expectativa de inflação no mercado americano. Uma versão sem variáveis macroeconômicas e uma versão com essas variáveis são implementadas e os prêmios de risco de inflação obtidos são pequenos e estáveis no período analisado, porém possuem diferenças na comparação dos dois modelos analisados.

T-duality in affine NA Toda models

The construction of non-Abelian affine Toda models is discussed in terms of its underlying Lie algebraic structure. It is shown that a subclass of such non-conformal two-dimensional integrable models naturally leads to the construction of a pair of actions, which share the same spectra and are related by canonical transformations.

Supersymmetry of Affine Toda Models as Fermionic Symmetry Flows of the Extended mKdV Hierarchy

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

THE CONSERVED CHARGES AND INTEGRABILITY OF THE CONFORMAL AFFINE TODA MODELS

We construct infinite sets of local conserved charges for the conformal affine Toda model. The technique involves the abelianization of the two-dimensional gauge potentials satisfying the zero-curvature form of the equations of motion. We find two infinite sets of chiral charges and apart from two lowest spin charges, all the remaining ones do not possess chiral densities. Charges of different chiralities Poisson commute among themselves. We discuss the algebraic properties of these charges and use the fundamental Poisson bracket relation to show that the charges conserved in time are in involution. Connections to other Toda models are established by taking particular limits.

Connection between the affine and conformal affine Toda models and their Hirota solution

It is shown that the affine Toda models (AT) constitute a gauge fixed version of the conformal affine Toda model (CAT). This result enables one to map every solution of the AT models into an infinite number of solutions of the corresponding CAT models, each one associated to a point of the orbit of the conformal group. The Hirota τ-functions are introduced and soliton solutions for the AT and CAT models associated to SL̂ (r+1) and SP̂ (r) are constructed.

A new deformation of W-infinity and applications to the two-loop WZNW and conformal affine Toda models

We construct a centerless W-infinity type of algebra in terms of a generator of a centerless Virasoro algebra and an abelian spin 1 current. This algebra conventionally emerges in the study of pseudo-differential operators on a circle or alternatively within KP hierarchy with Watanabe's bracket. Construction used here is based on a spherical deformation of the algebra W ∞ of area preserving diffeomorphisms of a 2-manifold. We show that this deformation technique applies to the two-loop WZNW and conformal affine Toda models, establishing henceforth W ∞ invariance of these models.

Hirota's solitons in the affine and the conformal affine Toda models

We use Hirota's method formulated as a recursive scheme to construct a complete set of soliton solutions for the affine Toda field theory based on an arbitrary Lie algebra. Our solutions include a new class of solitons connected with two different types of degeneracies encountered in Hirota's perturbation approach. We also derive an universal mass formula for all Hirota's solutions to the affine Toda model valid for all underlying Lie groups. Embedding of the affine Toda model in the conformal affine Toda model plays a crucial role in this analysis.

Level Set Segmentation with Shape and Appearance Models Using Affine Moment Descriptors

We propose a level set based variational approach that incorporates shape priors into edge-based and region-based models. The evolution of the active contour depends on local and global information. It has been implemented using an efficient narrow band technique. For each boundary pixel we calculate its dynamic according to its gray level, the neighborhood and geometric properties established by training shapes. We also propose a criterion for shape aligning based on affine transformation using an image normalization procedure. Finally, we illustrate the benefits of the our approach on the liver segmentation from CT images.

Distance Metric Between 3D Models and 3D Images for Recognition and Classification

Similarity measurements between 3D objects and 2D images are useful for the tasks of object recognition and classification. We distinguish between two types of similarity metrics: metrics computed in image-space (image metrics) and metrics computed in transformation-space (transformation metrics). Existing methods typically use image and the nearest view of the object. Example for such a measure is the Euclidean distance between feature points in the image and corresponding points in the nearest view. (Computing this measure is equivalent to solving the exterior orientation calibration problem.) In this paper we introduce a different type of metrics: transformation metrics. These metrics penalize for the deformatoins applied to the object to produce the observed image. We present a transformation metric that optimally penalizes for "affine deformations" under weak-perspective. A closed-form solution, together with the nearest view according to this metric, are derived. The metric is shown to be equivalent to the Euclidean image metric, in the sense that they bound each other from both above and below. For Euclidean image metric we offier a sub-optimal closed-form solution and an iterative scheme to compute the exact solution.

Constructing networks of continuous-time velocity-based models

A conventional local model (LM) network consists of a set of affine local models blended together using appropriate weighting functions. Such networks have poor interpretability since the dynamics of the blended network are only weakly related to the underlying local models. In contrast, velocity-based LM networks employ strictly linear local models to provide a transparent framework for nonlinear modelling in which the global dynamics are a simple linear combination of the local model dynamics. A novel approach for constructing continuous-time velocity-based networks from plant data is presented. Key issues including continuous-time parameter estimation, correct realisation of the velocity-based local models and avoidance of the input derivative are all addressed. Application results are reported for the highly nonlinear simulated continuous stirred tank reactor process.

Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article, the empirical section presents precise evidence on the reward of implementing arbitrage-free parametric term structure models: The ability of obtaining a good approximation for the state vector by simply using cross sectional data.

T-duality in 2D integrable models

The non-conformal analogue of Abelian T-duality transformations relating pairs of axial and vector integrable models from the non-Abelian affine Toda family is constructed and studied in detail.

Bicomplexes and conservation laws in non-Abelian Toda models

A bicomplex structure is associated with the Leznov-Saveliev equation of integrable models. The linear problem associated with the zero-curvature condition is derived in terms of the bicomplex linear equation. The explicit example of a non-Abelian conformal affine Toda model is discussed in detail and its conservation laws are derived from the zero-curvature representation of its equation of motion.