This article presents convenient reduced-form models of the valuation of contingent claims subject to default risk, focusing on applications to the term structure of interest rates for corporate or sovereign bonds. Examples include the valuation of a credit-spread option

This paper explores the structural differences and relative goodness-of-fits of affine term structure models (ATSMs55). Within the family of ATSMs there is a tradeoff between flexibility in modeling the conditional correlations and volatilities of the risk factors. This trade-off is formalized

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This study evaluated the sensitivity of maximum likelihood (ML)-, generalized least squares (GLS)-, and asymptotic distribution-free (ADF)-based fit indices to model misspecification, under conditions that varied sample size and distribution. The effect of violating assumptions of asymptotic

In this paper we present a statistical framework for modeling the appearance of objects. Our work is motivated by the pictorial structure models introduced by Fischler and Elschlager. The basic idea is to model an object by a collection of parts arranged in a deformable configuration

Inspired by empirical studies of networked systems such as the Internet, social networks, and biological networks, researchers have in recent years developed a variety of techniques and models to help us understand or predict the behavior of these systems. Here we review developments in this field

Motivation: Homology models of proteins are of great interest for planning and analyzing biological experiments when no experimental three-dimensional structures are available. Building homology models requires specialized programs and up-to-date sequence and structural databases. Integrating all

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The paper derives a general form of the term structure of interest rates. The following assumptions are made: (A.l) The instantaneous (spot) interest rate follows a diffusion process; (A.2) the price of a discount bond depends only on the spot rate over its term; and (A.3) the market is efficient

Time underlies many interesting human behaviors. Thus, the question of how to represent time in connectionist models is very important. One approach is to represent time implicitly by its effects on processing rather than explicitly (as in a spatial representation). The current report develops a