{"id":"W4389291879","doi":"10.20944/preprints202312.0034.v1","title":"Pricing Contingent Claims in a Two-Interest Rate Multi-dimensional Jump-diffusion Model via Market Completion","year":2023,"lang":"en","type":"preprint","venue":"Preprints.org","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Alberta","funders":"Natural Sciences and Engineering Research Council of Canada","keywords":"Arbitrage; Jump diffusion; Interest rate; Financial market; Jump; Economics; Econometrics; Asset (computer security); Poisson distribution; Financial economics; Computer science; Monetary economics; Mathematics; Finance","routes":{"ca_aff":true,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.004284699,0.001061726,0.002244099,0.0008480173,0.0004855382,0.002275614,0.001783865,0.002203183,0.00303467],"category_scores_gemma":[0.008118455,0.0007961098,0.001699276,0.000610298,0.00239628,0.004400165,0.002089942,0.002626348,0.0002837924],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001573284,"about_ca_system_score_gemma":0.001384874,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.005254901,"about_ca_topic_score_gemma":0.002306645,"domain_scores_codex":[0.99884,0.0005853407,0.00005206343,0.0002065872,0.0001867668,0.0001292079],"domain_scores_gemma":[0.9965063,0.001907905,0.0005652304,0.000188476,0.0003052902,0.0005267984],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0001657386,0.0001508585,0.001165919,0.00009505721,0.00007763747,0.0003731218,0.0001966249,0.473091,0.003103167,0.5176252,0.0005736413,0.003381959],"study_design_scores_gemma":[0.00002762277,0.000025551,0.0001266971,0.000003434785,0.000005954515,0.00001719052,0.000008433874,0.9623824,0.0001178153,0.03717183,0.0001021045,0.00001099688],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.3066475,0.0006238397,0.6867544,0.001267551,0.00007488371,0.0001093435,0.0001833838,0.0001528538,0.004186199],"genre_scores_gemma":[0.9585792,0.0003932689,0.03240964,0.0001131183,0.0000849296,0.0001072759,0.0001659375,0.00005742478,0.008089172],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.005254901,"threshold_uncertainty_score":0.0226599,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.2417721774778069,"score_gpt":0.3408731455285849,"score_spread":0.09910096805077798,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}