Understanding the Real Rate Conundrum: An Application of No-Arbitrage Models to the UK Real Yield Curve*

2011 ◽  
Vol 16 (3) ◽  
pp. 837-866 ◽  
Author(s):  
Michael A. S. Joyce ◽  
Iryna Kaminska ◽  
Peter Lildholdt
Keyword(s):  
The Real ◽  
2017 ◽  
Vol 1 (1) ◽  
Author(s):  
Eko Wahyono ◽  
Rizka Amalia ◽  
Ikma Citra Ranteallo

This research further examines the video entitled “what is the truth about post-factual politics?” about the case in the United States related to Trump and in the UK related to Brexit. The phenomenon of Post truth/post factual also occurs in Indonesia as seen in the political struggle experienced by Ahok in the governor election (DKI Jakarta). Through Michel Foucault's approach to post truth with assertive logic, the mass media is constructed for the interested parties and ignores the real reality. The conclusion of this study indicates that new media was able to spread various discourses ranging from influencing the way of thoughts, behavior of society to the ideology adopted by a society.Keywords: Post factual, post truth, new media


Author(s):  
Peter M. Lildholdt ◽  
Nikolaos Panigirtzoglou ◽  
Chris Peacock
Keyword(s):  

Mathematics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 114
Author(s):  
Valerii Maltsev ◽  
Michael Pokojovy

The Heath-Jarrow-Morton (HJM) model is a powerful instrument for describing the stochastic evolution of interest rate curves under no-arbitrage assumption. An important feature of the HJM approach is the fact that the drifts can be expressed as functions of respective volatilities and the underlying correlation structure. Aimed at researchers and practitioners, the purpose of this article is to present a self-contained, but concise review of the abstract HJM framework founded upon the theory of interest and stochastic partial differential equations in infinite dimensions. To illustrate the predictive power of this theory, we apply it to modeling and forecasting the US Treasury daily yield curve rates. We fit a non-parametric model to real data available from the US Department of the Treasury and illustrate its statistical performance in forecasting future yield curve rates.


2021 ◽  
Author(s):  
Taiqiang Yang

<p>Debris flow is characterized by the multi-disperse grain composition and intergranular collision and friction, but the granular effects on rheology are often reduced to the volumetric concentration of solid (C<sub>v</sub>), almost ignoring the specific grain size distribution (GSD). In this study, small debris flows occurring in a tributary of Jiangjia Gully were taken as the material sources for rheology experiments. From the real flows we selected slurries with different C<sub>v</sub> and maximum grain sizes (D<sub>m</sub>) for rheological tests under shearing rate up to 40 (s<sup>-</sup><sup>1</sup>), which is usually the real rate for debris flows in natural conditions. The results indicate that the flows follow the Herschel-Bulkley (HB) rheology, with randomly changing consistency coefficient and relatively constant exponent of 0.45 on average. Only at high shear rate will the flow exhibit Bingham behavior. The HB rheology also reveals shear thinning behavior in surge phenomena observed in the field. Shear-thinning behavior is revealed by the viscosity-shear rate relationship: η<sub>a</sub>=pγ<sup>q</sup>, with the exponent (thinning index) dependent on shear rate. This greatly concerns the surge phenomena observed in field. Moreover, both the yield stress and the effective viscosity are found to be perfectly related to the scaling GSD parameters in power-law and exponential form, with nearly constant exponents independent of the shear rate(Figure 1). The rheology properties can be calculated from their relationships to GSD parameters (μ, D<sub>c</sub>), which in turn can be used to infer the HB rheology for the concerned flows and then build the dynamical equations(Figure 2). This implies the presence of some interlock between the fine and coarse grains. Finally the rheology model (general in HB form) can be completely determined by the GSD parameters. This study has for the first time proposed quantitative formulas for rheology incorporating GSD parameters, which is helpful for more accurate dynamic analysis of debris flow.</p>


Author(s):  
Amanda McDonell ◽  
Urpo Kiiskinen ◽  
Danielle Zammit ◽  
Robert Kotchie ◽  
Per-Olof Thuresson ◽  
...  
Keyword(s):  
The Real ◽  

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