Affine Versus Multi-Affine Models for S-Variable LMI Conditions

Affine Models

Affine term structure models have gained significant attention in the finance literature, mainly due to their analytical tractability and statistical flexibility. The aim of this article is to present both theoretical foundations as well as empirical aspects of the affine model class. Starting from the original one-factor shortrate models of Vasiček and Cox et al, we provide an overview of the ...

A New S-box Structure Named Affine-power-affine

In this paper, we consider the problem of the simple algebraic structure of the Advanced Encryption Standard (AES) S-box, in which only 9 terms are involved in the algebraic expression, while its inverse S-box involves 255 terms. By resolving the reason why the algebraic expressions of AES-like S-boxes are so simple, the upper bound of items involved in the algebraic expressions of AES-like S-b...

Affine General Equilibrium Models

No-arbitrage models are extremely flexible modelling tools, but often lack economic motivation. This paper describes an equilibrium consumption based CAPM framework based on Epstein-Zin preferences, which produces analytic pricing formulas for stocks and bonds under the assumption that macro growth rates follow affine processes. This allows the construction of equilibrium pricing formulas while...

application of affine gray-box neural models for nonlinear control of chemical processes

Risk-neutral modelling with affine and non-affine models

Option prices provide a great deal of information regarding the market’s expectations of future asset price dynamics. But, the implied dynamics are under the risk-neutral measure rather than the physical measure under which the price of the underlying asset itself evolves. This paper demonstrates some new techniques for joint analysis of the physical and risk-neutral models using data from both...