AbstractStarting from the symmetric reduction of Cauchy bi-orthogonal polynomials, we derive the Toda equation of CKP type (or the C-Toda lattice) as well as its Lax pair by introducing the time flow. Determinant solutions of the C-Toda lattice are expressed in terms of matrix integrals which can be extended to give matrix integral solutions of the CKP hierarchy. It is remarkable that the time-...
BIMSA Digital Economy Lab SeminarA Multi-Curve Random Field LIBOR Market ModelSpeaker: Tao Wu (Illinois Institute of Technology)Time: Dec. 23, 15:20-16:20Venue: A3-2-303ZOOM: 230 432 7880 (PW: BIMSA)Organizers: Liyan Han, Zhen Li, Qingfu Liu, Fei Long, Ke TangAbstractA multi-curve random field LIBOR market model is proposed by extending the LIBOR market model (LMM) with uncertainty modelled by ...