Results 81 to 90 of about 3,551 (159)
Quadratic Hedging of American Options Under GARCH Models
Journal of Futures Markets, Volume 46, Issue 6, Page 1079-1097, June 2026.ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
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On the Foundational Arguments of Sufficient Dimension Reduction
WIREs Computational Statistics, Volume 18, Issue 2, June 2026.Contemporary Sufficient Dimension Reduction, a versatile method for extracting material information from data, can serve as a preprocessor for classical modeling and inference, or as a standalone theory that leads directly to statistical inference. ABSTRACT Sufficient dimension reduction (SDR) refers to supervised methods of dimension reduction that ...
R. Dennis Cook
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The RAND Journal of Economics, Volume 57, Issue 2, Page 285-299, Summer 2026.ABSTRACT A platform matches a unit mass of sellers, each owning a single product of heterogeneous quality, to a unit mass of buyers with differing valuations for unit‐quality. After matching, sellers make take‐it‐or‐leave‐it price‐offers to buyers. Initially, valuations of buyers are only known to them and the platform, but sellers make inferences from
Daniele Condorelli, Balazs Szentes
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Applied Stochastic Models in Business and Industry, Volume 42, Issue 3, May/June 2026.ABSTRACT Traditional short‐rate models introduce volatility directly into the instantaneous rate via Brownian shocks. However, empirical data suggest that short‐term interest rates exhibit smoother behavior than such models imply. We propose a two‐factor Gaussian short‐rate model in which the short rate is a deterministic exponential filter of a ...
Allan Jonathan da Silva
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An Overview and Recent Developments in the Analysis of Multistate Processes
Statistics in Medicine, Volume 45, Issue 10-12, May 2026.ABSTRACT Multistate models offer a powerful framework for studying disease processes and can be used to formulate intensity‐based and more descriptive marginal regression models. They also represent a natural foundation for the construction of joint models for disease processes and dynamic marker processes, as well as joint models incorporating random ...
Malka Gorfine +8 more
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Statistics in Medicine, Volume 45, Issue 10-12, May 2026.ABSTRACT For composite time‐to‐event outcomes, the win ratio as a relative measure ignores ties resulting from non‐occurrence of events, which can obscure important context in regression settings where event rates—and hence the proportion of ties—vary over time and across covariate values.
Lu Mao
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Change Point Analysis for Functional Data Using Empirical Characteristic Functionals
Journal of Time Series Analysis, Volume 47, Issue 3, Page 612-631, May 2026.ABSTRACT We develop a new method to detect change points in the distribution of functional data based on integrated CUSUM processes of empirical characteristic functionals. Asymptotic results are presented under conditions allowing for low‐order moments and serial dependence in the data establishing the limiting null‐distribution of the proposed test ...
Lajos Horváth +2 more
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Tests for Changes in Count Time Series Models With Exogenous Covariates
Journal of Time Series Analysis, Volume 47, Issue 3, Page 526-538, May 2026.ABSTRACT We deal with a parametric change in models for count time series with exogenous covariates specified via the conditional distribution, i.e., with integer generalized autoregressive conditional heteroscedastic models with covariates (INGARCH‐X).
Šárka Hudecová, Marie Hušková
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Nonparametric Detection of a Time‐Varying Mean
Journal of Time Series Analysis, Volume 47, Issue 3, Page 597-611, May 2026.ABSTRACT We propose a nonparametric portmanteau test for detecting changes in the unconditional mean of a univariate time series which may display either long or short memory. Our approach is designed to have power against, among other things, cases where the mean component of the series displays abrupt level shifts, deterministic trending behaviour ...
Fabrizio Iacone, A. M. Robert Taylor
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Littlewood, Paley and almost‐orthogonality: a theory well ahead of its time
Journal of the London Mathematical Society, Volume 113, Issue 5, May 2026.Abstract The classic paper by Littlewood and Paley [J. Lond. Math. Soc. (1), 6 (1931), 230–233] marked the birth of Littlewood–Paley theory. We discuss this paper and its impact from a historical perspective, include an outline of the results in the paper and their subsequent significance in relation to developments over the last century, and set them ...
Anthony Carbery
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