Results 31 to 40 of about 44,017 (164)

An Optional Semimartingales Approach to Risk Theory

Risks
This paper aims to develop optional semimartingale methods in risk theory to allow for a larger class of risk models. Optional semimartingales are left-continuous with right-limit stochastic processes defined on a probability space where the usual ...
Mahdieh Aminian Shahrokhabadi, Alexander Melnikov, Andrey Pak   +2 more
doaj   +1 more source

Backward Stochatic Differential Equations II [PDF]

, 2005
In a preceding article, we have studied a generalization of the problem of finding a martingale on a manifold whose terminal value is known. This article completes the results obtained in the first article by providing uniqueness and existence theorems ...
Blache, Fabrice
core   +2 more sources

Robust Tests of Forecast Accuracy for Factor‐Augmented Regressions With an Application to the Novel EA‐MD‐QD Dataset

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

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

A theoretical framework for the pricing of contingent claims in the presence of model uncertainty

, 2006
The aim of this work is to evaluate the cheapest superreplication price of a general (possibly path-dependent) European contingent claim in a context where the model is uncertain.
Denis, Laurent, Martini, Claude
core   +1 more source

Buyer‐Optimal Platform Design

The RAND Journal of Economics, EarlyView.
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
wiley   +1 more source

Coherent Price Systems and Uncertainty-Neutral Valuation [PDF]

, 2012
We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible mutually singular probability measures.
Beißner, Patrick
core   +5 more sources

Closed‐Form Optimal Investment Under Generalized GARCH Models

European Financial Management, EarlyView.
ABSTRACT This paper introduces a new class of stochastic volatility models for asset prices, the generalized Heston Nandi GARCH (GHN‐GARCH), with the primary objective of optimal dynamic asset allocation under expected utility theory for constant relative risk aversion investors. We study some of its theoretical properties, and demonstrate that the GHN‐
Marcos Escobar‐Anel, Tobias Lausser, Rudi Zagst   +2 more
wiley   +1 more source

Miners' Reward Elasticity and Stability of Competing Proof‐of‐Work Cryptocurrencies

International Economic Review, EarlyView.
ABSTRACT Proof‐of‐Work cryptocurrencies employ miners to sustain the system through algorithmic reward adjustments. We develop a stochastic model of the multicurrency mining and identify conditions for stable transaction speeds. Bitcoin's algorithm requires hash supply elasticity <$<$1 for stability, while ASERT remains stable for any elasticity and ...
Kohei Kawaguchi, Junpei Komiyama, Shunya Noda   +2 more
wiley   +1 more source

Agent-Based Models for Two Stocks with Superhedging

Mathematics
We propose an agent-based, non-probabilistic framework for modeling the joint evolution of two discounted asset prices expressed in units of a third asset acting as numeraire. The framework is based on a trajectorial superhedging theory, in which pricing,
Dario Crisci, Sebastian Ferrando, Konrad Gajewski   +2 more
doaj   +1 more source