Results 111 to 120 of about 8,125 (267)
Static hedging of Asian options under Lévy models: the comonotonicity approach. [PDF]
In this paper we present a simple static super-hedging strategy for the payoff of an arithmetic Asian option in terms of a portfolio of European options. Moreover, it is shown that the obtained hedge is optimal in some sense.
Albrecher, H +3 more
core
Discharge‐Targeted Hydraulic Tomography to Quantify and Locate Aquifer Discharge
Groundwater, EarlyView.Abstract Quantifying and localizing groundwater discharge is inherently difficult. It requires knowledge about hydraulic conductivity and the hydraulic gradient on the scale of interest. Conventional hydraulic testing, such as pumping tests, may fail in the presence of heterogeneity and complex structural boundaries.
Konstantin Drach +2 more
wiley +1 more source
Bounds for the price of discrete arithmetic Asian options. [PDF]
In this paper the pricing of European-style discrete arithmetic Asian options with fixed and floating strike is studied by deriving analytical lower and upper bounds.
Deelstra, G +4 more
core
, 2008 The CESTAC (Control et Estimation STochastique des Arrondis de Calculs) method is based on a probabilistic approach of the round-off error propagation which replaces the floating-point arithmetic by the stochastic arithmetic.
Mohammad Ali Fariborzi Araghi
core +1 more source
On Integral Priors for Multiple Comparison in Bayesian Model Selection
International Statistical Review, EarlyView.Summary Noninformative priors constructed for estimation purposes are usually not appropriate for model selection and testing. The methodology of integral priors was developed to get prior distributions for Bayesian model selection when comparing two models, modifying initial improper reference priors. We propose a generalisation of this methodology to
Diego Salmerón +2 more
wiley +1 more source
From Stochastic to Bit Stream Computing: Accurate Implementation of Arithmetic Circuits and Applications in Neural Networks [PDF]
, 2018 Ensar Vahapoglu, Mustafa Altun
openalex +2 more sources
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
Equilibrium Reward for Liquidity Providers in Automated Market Makers
Mathematical Finance, EarlyView.ABSTRACT We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader–follower stochastic game, where the venue is the leader and a representative LP is the follower.
Alif Aqsha +2 more
wiley +1 more source
Soft competitive learning using stochastic arithmetic
, 1998 Artificial Neural Networks (ANNs) are massively parallel systems which can benefit from technology which allows implementation of an unusually large number of simple computational elements on a single integrated circuit.
Brown, Bradley D.
core
Long‐term effects of clear‐cutting forestry on ectomycorrhizal fungi in boreal forest
New Phytologist, EarlyView.Summary Clear‐cutting is detrimental to ectomycorrhizal fungi in a short time perspective, but long‐term effects on species richness and community composition are uncertain. To evaluate ecological sustainability of rotation forestry, we examined to what extent communities similar to those in old forests develop within the time frame of a rotation ...
Björn D. Lindahl +3 more
wiley +1 more source