European options on coupon bonds are studied in a quantum field theory model of forward interest rates. A approximation scheme for finding the option price is developed based on the fact that the volatility of the forward interest rate is a small quantity. The field theory for the forward interest rates is in effect Gaussian, and when the payoff function for the coupon bonds option is included ...

The classical coupon collector problem is closely related to probabilistic-packet-marking (PPM) schemes for IP traceback problem in the Internet. In this paper, we study the classical coupon collector problem, and derive some upper and lower bounds of the complementary cumulative distribution function (ccdf) of the number of objects (coupons) that one has to check in order to detect a set of di...

This paper uses an HJM model to price TIPS and related derivative securities. First, using the market prices of TIPS and ordinary U.S. Treasury securities, both the real and nominal zero-coupon bond price curves are obtained using standard coupon-bond price stripping procedures. Next, a three-factor arbitragefree term structure model is fit to the time series evolutions of the CPI-U and the rea...

A novel technique is presented in this paper to extract strings in color images of both Business Settlement Plan (BSP) and non-BSP airline coupon. The essential concept is to remove non-text pixels from complex coupon images, rather than extract strings directly. First we transfer color images from RGB to HSV space, which is approximate uniformed, and then remove the black component of images u...

We develop a novel technique to estimate inflation expectations and inflation risk premia when only a limited number of inflation-indexed bonds are available. The method involves pricing coupon-bearing inflation-indexed bonds directly in terms of an affine term structure model, and avoids the usual requirement of estimating zero-coupon real yield curves. We estimate the model using a non-linear...

In this note we will consider the following problem: how many coupons we have to purchase (on average) to complete a collection. This problem, which takes everybody back to his childhood when this was really “a problem”, has been considered by the probabilists since the eighteenth century and nowadays it is still possible to derive some new results, probably original or at least never published...

In an earlier paper (Nunez & Colhoun 1986), the gradient of near-surface air temperature with altitude, commonly known as the environmental lapse rate (ELR), was obtained for Mount Wellington, Tasmania. Comparing these local lapse rates with an ELR for the entire island did not give good agreement for maximum temperatures in summer or minimum temperatures in winter. These differences are attrib...

In this paper we calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression. The calibration is done by maximizing the likelihood of zero coupon bond log prices, using mean and covariance functions computed analytically, as well as likelihood derivatives with respect to the parameters. The ma...

BACKGROUND Previous studies of methods to increase response rates on international postal surveys did not include providing return postage. We provided International Postage Vouchers--"Coupon-Réponse International" to cover this. The objective of this study was to see if these International Postage Vouchers had an effect on response rates. METHODS Between-groups, randomized, after-only. RES...