Results 191 to 200 of about 40,195 (268)

Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models

open access: yesJournal of Time Series Analysis, EarlyView.
ABSTRACT This article examines the filtering and approximation‐theoretic properties of score‐driven time series models. Under specific Lipschitz‐type and tail conditions, new results are derived, leading to maximal and deviation inequalities for the filtering approximation error using empirical process theory.
Enzo D'Innocenzo
wiley   +1 more source

Macroscopic Market Making Games

open access: yesMathematical Finance, EarlyView.
ABSTRACT Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the others. We begin with the linear case.
Ivan Guo, Shijia Jin
wiley   +1 more source

Perpetual Futures Pricing

open access: yesMathematical Finance, EarlyView.
ABSTRACT Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no‐arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and ...
Damien Ackerer   +2 more
wiley   +1 more source

A geophysical investigation of the Roter Kamm impact crater, Namibia

open access: yesMeteoritics &Planetary Science, EarlyView.
Abstract The Roter Kamm impact crater is located in the southern Namib Desert. The crater has a diameter of 2.5 km and belongs to the category of simple, bowl‐shaped impact craters, with an elevated rim of fractured target rock. The crater's interior is completely buried beneath sediments, preventing extensive surface investigations of the bedrock ...
Hannah Nienhaus   +6 more
wiley   +1 more source

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