Results 41 to 50 of about 207,950 (53)

Fear Universality and Doubt in Asset price movements [PDF]

arXiv, 2018
We take a look the changes of different asset prices over variable periods, using both traditional and spectral methods, and discover universality phenomena which hold (in some cases) across asset classes.
arxiv  

Generalization of Doob's Inequality and A Tighter Estimate on Look-back Option Price [PDF]

arXiv, 2018
In this short note, we will strengthen the classic Doob's $L^p$ inequality for sub-martingale processes. Because this inequality is of fundamental importance to the theory of stochastic process, we believe this generalization will find many interesting applications.
arxiv  

Affine Rough Models [PDF]

arXiv, 2018
The goal of this survey article is to explain and elucidate the affine structure of recent models appearing in the rough volatility literature, and show how it leads to exponential-affine transform formulas.
arxiv  

Strict Local Martingales and the Khasminskii test for Explosions [PDF]

arXiv, 2019
We exhibit sufficient conditions such that components of a multidimensional SDE giving rise to a local martingale $M$ are strict local martingales or martingales. We assume that the equations have diffusion coefficients of the form $\sigma(M_t,v_t),$ with $v_t$ being a stochastic volatility term.
arxiv  

Some of the next articles are maybe not open access.

Related searches:

Formal Methods for the Verification of Smart Contracts: A Review

International Conference on Security of Information and Networks, 2022
Smart contracts are digital contracts that rely on Blockchain technology to make their terms and execution conditions unforgeable. The purpose of a smart contract is to eliminate the need for a middleman in business and trade between anonymous and ...
M. Krichen, Mariam Lahami, Q. A. Al-Haija   +2 more
semanticscholar   +1 more source

Mathematics for Economics and Finance: Mathematical models in economics

, 1996
Introduction In this book we use the language of mathematics to describe situations which occur in economics. The motivation for doing this is that mathematical arguments are logical and exact, and they enable us to work out in precise detail the ...
M. Anthony, N. Biggs
semanticscholar   +1 more source

Stationary distributions for two-dimensional sticky Brownian motions: Exact tail asymptotics and extreme value distributions

Science China Mathematics, 2018
Sticky Brownian motions can be viewed as time-changed semimartingale reflecting Brownian motions, which find applications in many areas including queueing theory and mathematical finance.
Hongshuai Dai, Yiqiang Q. Zhao
semanticscholar   +1 more source

Visionbased Sensor Coverage in Uncertain Geometric Domains

PERV, 2020
Brief Biography: Qian Li was born in Shandong, China, in 1989. She received the bachelors degree in mathemat- ics and applied mathematics and minor bachelors degree in Finance from the Tianjin University and Nankai University (Tianjin, China) in 2012 ...
Q. Li
semanticscholar   +1 more source

Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott

, 2012
This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering.
Samuel N. Cohen, D. Madan, T. Siu, Hailiang Yang   +3 more
semanticscholar   +1 more source

Explicit Analytical Form for the Average Run Length of Double-Modified Exponentially Weighted Moving Average Control Charts Through the MA(q) Process and Applications

Symmetry
The Statistical Process Control (SPC) approach using mathematical modeling proves effective for correlated data, with applications in healthcare, finance, and technology to enhance quality and efficiency.
Julalak Neammai, S. Sukparungsee, Y. Areepong   +2 more
semanticscholar   +1 more source