Stochastic particle methods for the coagulation-fragmentation Smoluchowski equation are developed and a general variance reduction technique is suggested. This method generalizes the mass-flow approach due to H. Babovsky, and has in focus the desired band of the size spectrum. Estimations of the...

In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...