Results 41 to 50 of about 151,410 (172)
On singular integral and martingale transforms [PDF]
Transactions of the American Mathematical Society, 2009 Linear equivalences of norms of vector-valued singular integral operators and vector-valued martingale transforms are studied. In particular, it is shown that the UMD(p)-constant of a Banach space X equals the norm of the real (or the imaginary) part of the Beurling-Ahlfors singular integral operator, acting on the X-valued L^p-space on the plane ...
Geiss, Stefan +2 more
openaire +2 more sources
Market Making With Fads, Informed, and Uninformed Traders
Mathematical Finance, EarlyView.ABSTRACT We characterize the solution to a continuous‐time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads —these are short‐term deviations from the fundamental value of the asset.
Emilio Barucci +2 more
wiley +1 more source
Generalized spectral tests for the martingale difference hypothesis [PDF]
, 2006 This article proposes a test for the martingale difference hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the ...
Velasco Gómez, Carlos +4 more
core +1 more source
Mathematical Finance, EarlyView.ABSTRACT We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of forward optimized certainty equivalent (forward OCE), which offers a genuinely dynamic valuation mechanism that accommodates progressively adaptive market model ...
Gechun Liang +2 more
wiley +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
Martingalized Historical approach for Option Pricing [PDF]
In a discrete time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor (SDF) and the empirical martingale correction methodologies.
Dominique Guegan +2 more
core +2 more sources
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
Operator-valued martingale transforms
Operator-valued martingale transformsWe develop a general theory of martingale transform operators with operator-valued multiplying sequences. Applications are given to classical operators such as Doob's maximal function and the square function. Some geometric properties of the underlying Banach spaces are also considered.
Torrea, JoseL., Martinez, Teresa
openaire +2 more sources
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
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