Results 61 to 70 of about 740,184 (197)
One dimensional martingale rearrangement couplings
, 2021 39 pagesInternational audienceWe are interested in martingale rearrangement couplings. As introduced by Wiesel [37] in order to prove the stability of Martingale Optimal Transport problems, these are projections in adapted Wasserstein distance of ...
Margheriti, William +3 more
core +1 more source
On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley +1 more source
Distribution-free specification tests of conditional models [PDF]
, 2008 This article proposes a class of asymptotically distribution-free specification tests for parametric conditional distributions. These tests are based on a martingale transform of a proper sequential empirical process of conditionally transformed data ...
Delgado, Miguel A., Stute, Winfried
core +1 more source
Pricing Asian options in financial markets using Mellin transforms
Electronic Journal of Differential Equations, 2014 We derived an expression for the floating strike put arithmetic asian options in financial market when the asset is driven by the generalized Barndorff-Nielsen and Shephard model with stochastic volatility.
Indranil SenGupta
doaj
Variance Ratio Tests for Panels With Cross‐Section Dependence
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper develops panel variance ratio statistics to examine serial dependence in time series with cross‐sectional dependence. We derive asymptotic properties for panels where the cross‐section dimension N$$ N $$ is fixed or grows with T. Using a factor structure to explain cross‐sectional dependence, we propose a common correlation effects ...
Seongman Moon, Carlos Velasco
wiley +1 more source
A martingale-transform goodness-of-fit test for the form of the conditional variance [PDF]
In the common nonparametric regression model the problem of testing for a specific parametric form of the variance function is considered. Recently Dette and Hetzler (2008) proposed a test statistic, which is based on an empirical process of pseudo ...
Hetzler, Benjamin, Dette, Holger
core
Frequency‐dependent contraction rates for the Bayesian method to the inverse source problem
Transactions of the London Mathematical Society, Volume 13, Issue 1, December 2026.Abstract This paper addresses an inverse source problem for acoustic waves in a range of frequencies. Our study has two main goals. First, although the problem is severely ill‐posed with a logarithmic stability estimate, we demonstrate, through careful analysis of the forward map's singular values, that increasing the frequency range enhances stability,
Pu‐Zhao Kow, Jenn‐Nan Wang
wiley +1 more source
A Test of the Martingale Hypothesis [PDF]
This paper proposes a statistical test of the martingale hypothesis. It can be used to test whether a given time series is a martingale process against certain non-martingale alternatives.
Whang, Yoon-Jae, Park, Joon Y.
core
Martingale transforms in martingale Hardy spaces with variable exponents
AIMS Mathematics<p>In this paper, we considered the boundedness of Burkholder's martingale transforms for martingale Hardy spaces with variable exponents. In addition, through martingale transforms, some characterizations of predictable variable exponent martingale Hardy spaces were also provided.</p>
Tao Ma, Jianzhong Lu, Xia Wu
openaire +2 more sources
Stochastic Gradient Descent in High Dimensions for Multi‐Spiked Tensor PCA
Communications on Pure and Applied Mathematics, Volume 79, Issue 10, Page 2291-2369, October 2026.ABSTRACT We study the high‐dimensional dynamics of online stochastic gradient descent (SGD) for the multi‐spiked tensor model. This multi‐index model arises from the tensor principal component analysis (PCA) problem with multiple spikes, where the goal is to estimate the unknown signal vectors within the N$N$‐dimensional unit sphere through maximum ...
Gérard Ben Arous +2 more
wiley +1 more source