Results 51 to 60 of about 1,204,996 (162)
Confidence bands for Brownian motion and applications to Monte Carlo simulation [PDF]
, 2006 Minimal area regions are constructed for Brownian paths and perturbed Brownian paths. While the theoretical optimal region cannot be obtained in closed form, we provide practical confidence regions based on numerical approximations and local time ...
W. S. Kendall +6 more
core +1 more source
Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function
International Statistical Review, EarlyView.Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler +3 more
wiley +1 more source
The expected inflation risk premium in the U.S. stock market
Journal of Financial Research, EarlyView.Abstract This article studies how expected inflation risk affects asset prices. We propose an ex‐ante, tradable proxy for this risk, derived from the term spread of gold futures prices. Using cross‐sectional and time series asset pricing tests, we show how an increase in expected inflation risk lowers contemporaneous prices and raises equity returns ...
Pascal Letourneau +2 more
wiley +1 more source
Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models
Journal of Time Series Analysis, EarlyView.ABSTRACT This article examines the filtering and approximation‐theoretic properties of score‐driven time series models. Under specific Lipschitz‐type and tail conditions, new results are derived, leading to maximal and deviation inequalities for the filtering approximation error using empirical process theory.
Enzo D'Innocenzo
wiley +1 more source
Never, Ever Getting Started: On Prospect Theory Without Commitment
Mathematical Finance, EarlyView.ABSTRACT Prospect theory is arguably the most prominent alternative to expected utility theory. We study the investment or gambling behavior of a prospect theory decision maker who is aware of his time‐inconsistency but lacks commitment. For the empirically relevant prospect theory specifications, we obtain the extreme prediction that such a decision ...
Sebastian Ebert, Philipp Strack
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
On countably skewed Brownian motion with accumulation point
Electronic Journal of Probability, 2015 في هذا العمل، نربط نظرية أشكال ديريتشليت المتماثلة وحساب التفاضل والتكامل العشوائي المباشر للحصول على وجود قوي وتفرد مساري للحركة البراونية التي تعكر صفوها سلسلة من المضاعفات الثابتة للأوقات المحلية في سلسلة من النقاط التي تحتوي على نقطة تراكم واحدة بالضبط في $\mathbb{R }$.
Youssef Ouknine +2 more
openaire +3 more sources
Solving Stochastic Climate‐Economy Models: A Deep Least‐Squares Monte Carlo Approach
Mathematical Finance, Volume 36, Issue 4, Page 751-770, October 2026.ABSTRACT Stochastic versions of recursive integrated climate‐economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number of state variables and stochastic shocks increases, solving these models via deterministic grid‐based dynamic programming (e.g., value‐function iteration/projection ...
Aleksandar Arandjelović +4 more
wiley +1 more source
Occupation and local times for skew Brownian motion with applications to dispersion across an interface [PDF]
Advective skew dispersion is a natural Markov process defined ned by a di ffusion with drift across an interface of jump discontinuity in a piecewise constant diff usion coeffcient. In the absence of drift this process may be represented as a function of
Waymire, E. +4 more
core +6 more sources
Timing in the presence of directional predictability: optimal stopping of skew Brownian motion [PDF]
Mathematical Methods of Operations Research, 2017 We investigate a class of optimal stopping problems arising in, for example, studies considering the timing of an irreversible investment when the underlying follows a skew Brownian motion. Our results indicate that the local directional predictability modeled by the presence of a skew point for the underlying has a nontrivial and somewhat surprising ...
Alvarez Esteban Luis, Salminen Paavo
openaire +3 more sources