Results 41 to 50 of about 3,551 (159)

Estimates for Bellman functions related to dyadic-like maximal operators on weighted spaces [PDF]

, 2015
We provide some new estimates for Bellman type functions for the dyadic maximal opeator on $R^n$ and of maximal operators on martingales related to weighted spaces.
Cheliotis, Dimitrios, Melas, Antonios D., Nikolidakis, Eleftherios N.   +2 more
core   +1 more source

Functional Meyer-Tanaka Formula

, 2017
The functional Ito formula, firstly introduced by Bruno Dupire for continuous semimartingales, might be extended in two directions: different dynamics for the underlying process and/or weaker assumptions on the regularity of the functional. In this paper,
Saporito, Yuri F.
core   +1 more source

On Metric Choice in Dimension Reduction for Fréchet Regression

International Statistical Review, EarlyView.
Summary Fréchet regression is becoming a mainstay in modern data analysis for analysing non‐traditional data types belonging to general metric spaces. This novel regression method is especially useful in the analysis of complex health data such as continuous monitoring and imaging data.
Abdul‐Nasah Soale, Congli Ma, Siyu Chen, Obed Koomson   +3 more
wiley   +1 more source

Option Pricing from Path Integral for Non-Gaussian Fluctuations. Natural Martingale and Application to Truncated L\'evy Distributions

, 2002
Within a path integral formalism for non-Gaussian price fluctuations we set up a simple stochastic calculus and derive a natural martingale for option pricing from the wealth balance of options, stocks, and bonds.
Barndorff-Nielsen, Barndorff-Nielsen, Barndorff-Nielsen, Bertoin, Black, Bouchaud, Carr, Chan, Cont, Cont, Eberlein, Eberlein, Eberlein, Eberlein, Eberlein, Eberlein, Eberlein, Eberlein, Einstein, Esscher, Föllmer, Gerber, Hagen Kleinert, Harrison, Harrison, Jacod, Koponen, Liptser, Lévy, Madan, Madan, Madan, Mandelbrot, Mantegna, Merton, Pareto, Wiener   +36 more
core   +1 more source

A Comparative Review of Specification Tests for Diffusion Models

International Statistical Review, EarlyView.
Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez, D. Diz‐Castro, M. Febrero‐Bande, W. González‐Manteiga   +3 more
wiley   +1 more source

Martingale densities for general asset prices [PDF]

Journal of Mathematical Economics, 1992
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +1 more source

What Are Asset Price Bubbles? A Survey on Definitions of Financial Bubbles

Journal of Economic Surveys, EarlyView.
ABSTRACT Financial bubbles and crashes have repeatedly caused economic turmoil notably but not just during the 2008 financial crisis. However, both in the popular press as well as scientific publications, the meaning of bubble is sometimes unspecified.
Michael Heinrich Baumann, Anja Janischewski   +1 more
wiley   +1 more source

Least squares estimation for the subcritical Heston model based on continuous time observations [PDF]

, 2018
We prove strong consistency and asymptotic normality of least squares estimators for the subcritical Heston model based on continuous time observations. We also present some numerical illustrations of our results.Comment: 22 pages. arXiv admin note: text
Barczy, Matyas, Nyul, Balazs, Pap, Gyula
core   +1 more source

Generalization of tail inequalities for random variables, using in the martingale theory [PDF]

, 2022
M. R. Formica, E. Ostrovsky, L. Sirota
openalex   +1 more source

Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice

The Journal of Finance, EarlyView.
ABSTRACT We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Risk‐averse investors (relative risk aversion γ>1$\gamma > 1$) fear return persistence, while risk‐tolerant investors (0<γ<1$0<\gamma <1$) fear mean reversion, when confronting model misspecification concerns of identically and independently distributed (IID)
PASCAL J. MAENHOUT, HAO XING, ANNE G. BALTER   +2 more
wiley   +1 more source