Results 41 to 50 of about 18,905 (246)
Convergence Rates in the Strong Law of Large Numbers for Martingale Difference Sequences
Abstract and Applied Analysis, 2012 We study the complete convergence and complete moment convergence for martingale difference sequence. Especially, we get the Baum-Katz-type Theorem and Hsu-Robbins-type Theorem for martingale difference sequence.
Xuejun Wang +3 more
doaj +1 more source
Measuring Bubbles via Put‐Call Disparity: A Model‐Free Approach
Financial Management, EarlyView.ABSTRACT This paper uses violations of put‐call parity to provide simple lower and upper bounds for measuring the size of asset price bubbles. Assuming only no‐arbitrage, this bubble detection approach avoids restrictive parametric model assumptions. We show that put‐call disparity provides a bubble's lower bound, and the lowest price of an out‐of‐the ...
Robert A. Jarrow, Simon S. Kwok
wiley +1 more source
An equivalent quasinorm for the Lipschitz space of noncommutative martingales
Open Mathematics, 2020 In this paper, an equivalent quasinorm for the Lipschitz space of noncommutative martingales is presented. As an application, we obtain the duality theorem between the noncommutative martingale Hardy space hpc(ℳ){h}_{p}^{c}( {\mathcal M} ) (resp.
Ma Congbian, Ren Yanbo
doaj +1 more source
The Evolution of Interest‐Rate Models: From the Yield Curve to the Swaption Cube
Journal of Economic Surveys, EarlyView.ABSTRACT Interest‐rate modelling is often taught as a catalogue of competing stochastic equations, obscuring why models were created and why modern sell‐side desks use several simultaneously. This survey reorganises the field around five layers of a pricing architecture: curve construction; arbitrage‐free dynamics; volatility‐smile representation ...
Xuan Feng +2 more
wiley +1 more source
Probabilistic analysis of the First Zagreb index [PDF]
Transactions on Combinatorics, 2013 In this paper we study the Zagreb index in bucket recursive trees containing buckets with variable capacities. This model was introduced by Kazemi in 2012.
Ramin Kazemi
doaj
Learning in the Limit: Income Inference from Credit Extensions
The Journal of Finance, EarlyView.ABSTRACT Combining a randomized controlled trial with administrative and survey data, this paper shows that credit limit extensions significantly increase total spending and income expectations. By controlling for changes in personal income expectations, the spending response to credit limit extensions weakens by approximately 30%.
XIAO YIN
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
The Convergence of Double-Indexed Weighted Sums of Martingale Differences and Its Application
Abstract and Applied Analysis, 2014 We investigate the complete moment convergence of double-indexed weighted sums of martingale differences. Then it is easy to obtain the Marcinkiewicz-Zygmund-type strong law of large numbers of double-indexed weighted sums of martingale differences ...
Wenzhi Yang +3 more
doaj +1 more source
A Note on the Strong Predictable Representation Property and Enlargement of Filtration
Mathematics, 2022 The strong predictable representation property of semi-martingales and the notion of enlargement of filtration meet naturally in modeling financial markets, and theoretical problems arise.
Antonella Calzolari, Barbara Torti
doaj +1 more source
On Selection of Cross‐Section Averages in Non‐Stationary Environments
Journal of Time Series Analysis, EarlyView.ABSTRACT Information criteria (ICs) have been widely used in factor models to estimate an unknown number of latent factors. It has recently been shown that ICs perform well in Common Correlated Effects (CCE) and related settings when selecting a set of cross‐section averages (CAs) sufficient for the factor space under stationary factors.
Jan Ditzen, Ovidijus Stauskas
wiley +1 more source