Results 111 to 120 of about 22,614 (265)
Asymptotically optimal dynamic pricing for network revenue management
Stochastic Systems, 2012 A dynamic pricing problem that arises in are venue management context is considered, involving several resources and several demand classes, each of which uses a particular subset of the resources.
Rami Atar, Martin I. Reiman
doaj
Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function
International Statistical Review, EarlyView.Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler +3 more
wiley +1 more source
Erythrocyte ‘Feierzeit’ reaction: Novel filamentous and vesicular response to n‐butyl acetate
Journal of Microscopy, EarlyView.Abstract Human erythrocytes (red blood cells; RBCs) undergo spontaneous disassembly after several hours of exposure to n‐butyl acetate (nBA). Images of the morphological changes were captured in time‐lapse sequences using differential interference contrast (DIC) light microscopy.
Philip W. Kuchel
wiley +1 more source
The Journal of Finance, EarlyView.ABSTRACT We propose a measure of the valuation gap between debt and equity—debt‐equity spread (DES)—based on the difference between actual and equity‐implied credit spreads. DES predicts cross‐sectional stock and bond returns in opposite directions.
HUI CHEN, ZHIYAO CHEN, JUN LI
wiley +1 more source
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka +4 more
wiley +1 more source
Estimation of the Intercept Parameter in Integrated Galton–Watson Processes
Journal of Time Series Analysis, EarlyView.ABSTRACT We study the estimation of the intercept parameter in an integrated Galton–Watson process, an important building block for many count‐valued time series models. In this unit root setting, the ordinary least squares estimator is known to be inconsistent, whereas the existing weighted least squares (WLS) estimator is consistent only in the case ...
Yang Lu
wiley +1 more source
Inchworm movement of two rings switching onto a thread by biased Brownian diffusion represent a three-body problem. [PDF]
Proc Natl Acad Sci U S A, 2018 Benson CR +7 more
europepmc +1 more source
Testing for Rough Volatility When Prices Are Purely Discontinuous
Journal of Time Series Analysis, EarlyView.ABSTRACT We consider the problem of nonparametric testing for rough volatility, using high‐frequency data with a fixed time span, in a setting where the price is purely discontinuous. More specifically, we analyze the asymptotic properties of a test we developed in previous work in a pure‐jump setting.
Carsten H. Chong, Viktor Todorov
wiley +1 more source
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
Optimal Portfolio Choice With Cross‐Impact Propagators
Mathematical Finance, EarlyView.ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber +2 more
wiley +1 more source