Results 41 to 50 of about 7,361 (242)
Probabilistic Properties of F-indices of Trees [PDF]
Mathematics Interdisciplinary Research, 2019 The aim of this paper is to introduce some results for the F-index of the tree structures without any information on the exact values of vertex degrees. Three martingales related to the first Zagreb index and F-index are given.
Hadis Morovati +2 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
sigma-Localization and sigma-Martingales [PDF]
, 2004 This paper introduces the concept of sigma-localization, which is a generalization of localization in the general theory of stochastic processes. The sigma-localized class derived from the set of martingales is the class of sigma-martingales, which plays
Kallsen, J., Kallsen, Jan
core +1 more source
Continuous Ocone martingales as weak limits of rescaled martingales [PDF]
, 2002 Consider a martingale $M$ with bounded jumps and two sequences $a_n, b_n to infty$. We show that if the rescaled martingales M^n_t =frac{1}{sqrt{a_n}}M_{b_n t} converge weakly, then the limit is necessarily a continous Ocone martingale.
van Zanten, J.H. +3 more
core +4 more sources
A change of measures technique for compound mixed renewal processes with applications in Risk Theory
Modern Stochastics: Theory and ApplicationsGiven a compound mixed renewal process S under a probability measure P, we provide a characterization of all progressively equivalent martingale probability measures Q on the domain of P, that convert S into a compound mixed Poisson process.
Spyridon M. Tzaninis +1 more
doaj +1 more source
Journal of Function Spaces, 2022 In this paper, we introduce the generalized grand Morrey spaces in the framework of probability space setting in the spirit of the martingale theory and grand Morrey spaces.
Libo Li, Zhiwei Hao, Xinru Ding
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
On the Construction of the Neutrosophic Itˆo Integral [PDF]
Neutrosophic Sets and SystemsThis research pioneers a rigorous framework for stochastic calculus in the neutrosophic paradigm, explicitly modeling systems with truth, indeterminacy, and falsehood degrees. We introduce foundational constructs including Canonical Neutrosophic Brownian
Ahmed Hatip +2 more
doaj +1 more source
Single jump filtrations and local martingales
Modern Stochastics: Theory and Applications, 2020 A single jump filtration ${({\mathcal{F}_{t}})_{t\in {\mathbb{R}_{+}}}}$ generated by a random variable γ with values in ${\overline{\mathbb{R}}_{+}}$ on a probability space $(\Omega ,\mathcal{F},\mathsf{P})$ is defined as follows: a set $A\in \mathcal{F}
Alexander A. Gushchin
doaj +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