Results 41 to 50 of about 66,313 (214)
Time Integrals Under the Black–Scholes–Merton and Margrabe Economies
Journal of Futures Markets, EarlyView.ABSTRACT The problem of integrating the Black, Scholes, and Merton (BSM) formula with respect to the time variable is paramount for an economist. Inspired by the real options literature, Shackleton and Wojakowski offer analytic formulae for valuing finite maturity (profit) caps and floors that are contingent on continuous flows following a lognormal ...
José Carlos Dias +3 more
wiley +1 more source
Journal of Applied Econometrics, EarlyView.ABSTRACT We present four novel tests of equal predictive accuracy and encompassing á Pitarakis (2023, 2025) for factor‐augmented regressions. Factors are estimated using cross‐section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors,
Alessandro Morico, Ovidijus Stauskas
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
The Prostate, EarlyView.ABSTRACT Purpose A key clinical challenge in prostate cancer is the identification and validation of biomarkers with high specificity for indolent long‐term outcomes. We applied a novel statistical method to identify tumor transcriptomic biomarkers that optimally predicted patients with low metastatic potential.
Travis A. Gerke +10 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
Continuity of the martingale optimal transport problem on the real line
, 2020 We show continuity of the martingale optimal transport optimisation problem as a functional of its marginals. This is achieved via an estimate on the projection in the nested/causal Wasserstein distance of an arbitrary coupling on to the set of ...
Wiesel, Johannes
core
Universal Arbitrage Aggregator in Discrete Time Markets under Uncertainty
, 2015 In a model independent discrete time financial market, we discuss the richness of the family of martingale measures in relation to different notions of Arbitrage, generated by a class $\mathcal{S}$ of significant sets, which we call Arbitrage de la ...
Burzoni, Matteo +2 more
core +1 more source
Adaptive CUSUM Chart for Simultaneous Monitoring of Mean and Variance
Quality and Reliability Engineering International, EarlyView.ABSTRACT Simultaneously monitoring changes in both the mean and variance is a fundamental problem in statistical process control, and numerous methods have been developed to address it. However, many existing approaches face notable limitations: Some rely on tuning parameters that can significantly affect performance; others are biased toward detecting
Gokul Parakulum, Jun Li
wiley +1 more source
Martingale characterizations of coherent acceptability measures [PDF]
, 2002 The coherent risk framework is linked to martingale valuation by adding hedgeinvariance as a fifth axiom, motivated by the concept of consistent hedging.
Roorda, Berend
core +2 more sources
Gender &History, EarlyView.ABSTRACT During the nineteenth century, American agricultural fairs often featured ladies’ equestrian exhibitions. At these events, women constructed an athletic femininity based on skill and competitiveness that challenged traditional ideals of womanhood.
Gabrielle McCoy
wiley +1 more source