Results 31 to 40 of about 36,708 (189)
Alternative framework for the fair valuation of participating life insurance contracts [PDF]
, 2004 In this communication, we develop suitable valuation techniques for a with-profit/unitized with profit life insurance policy providing interest rate guarantees, when a jump-diffusion process for the evolution of the underlying reference portfolio is used.
Ballotta, L.
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Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model
, 2011 This paper investigates the pricing and hedging of variance swaps under a $3/2$ volatility model. Explicit pricing and hedging formulas of variance swaps are obtained under the benchmark approach, which only requires the existence of the num\'{e}raire ...
Chan, Leunglung, Platen, Eckhard
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Regularities of local times of two-parameter martingales
Kyoto Journal of Mathematics, 2004 We prove that, as Wiener functionals, local times of two-parameter martingales belong to some fractional Sobolev spaces over the Wiener space and, therefore, exist (2, ∞)-quasi surely.
Liu, Jicheng, Ren, Jiagang
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Adaptive CUSUM Chart for Simultaneous Monitoring of Mean and Variance
Quality and Reliability Engineering International, EarlyView.ABSTRACT Simultaneously monitoring changes in both the mean and variance is a fundamental problem in statistical process control, and numerous methods have been developed to address it. However, many existing approaches face notable limitations: Some rely on tuning parameters that can significantly affect performance; others are biased toward detecting
Gokul Parakulum, Jun Li
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On the functional CLT for stationary Markov Chains started at a point
, 2016 We present a general functional central limit theorem started at a point also known under the name of quenched. As a consequence, we point out several new classes of stationary processes, defined via projection conditions, which satisfy this type of ...
Barrera, David +2 more
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Two-parameter diffusion processes and martingales
Stochastic Processes and their Applications, 1983 AbstractWe introduce a class of two-parameter processes which are diffusions on each coordinate and satisfy a particular Markov property related to the partial ordering in R2+. These processes can be expressed as solutions of some stochastic integral equations driven by a two-parameter Wiener process and two families of ordinary Brownian motions.
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Idiosyncratic asset return and wage risk of US households
Economic Inquiry, Volume 63, Issue 2, Page 636-657, April 2025.Abstract This paper documents the degree of idiosyncratic asset return heterogeneity, serial correlation, and correlation with wage heterogeneity for US households. Novel panel‐data measurements for returns on household assets are proposed. Sizable transitory idiosyncratic return heterogeneity is documented to exist concurrently with permanent ...
Stephen Snudden
wiley +1 more source
The continuity of the quadratic variation of two-parameter martingales
Stochastic Processes and their Applications, 1988 Let \(M=(M_ t;t\in {\mathbb{R}}^ 2_+)\) be an L \(log^+L\)-integrable two- parameter martingale. According to a theorem by \textit{D. Bakry} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 50, 149-157 (1979; Zbl 0419.60051)] and by \textit{A. Millet} and \textit{L. Sucheston} [ibid.
Frangos, Nikos E., Imkeller, Peter
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Closed‐Form Optimal Investment Under Generalized GARCH Models
European Financial Management, EarlyView.ABSTRACT This paper introduces a new class of stochastic volatility models for asset prices, the generalized Heston Nandi GARCH (GHN‐GARCH), with the primary objective of optimal dynamic asset allocation under expected utility theory for constant relative risk aversion investors. We study some of its theoretical properties, and demonstrate that the GHN‐
Marcos Escobar‐Anel +2 more
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Integral Fluctuation Relations for Entropy Production at Stopping Times
, 2019 A stopping time $T$ is the first time when a trajectory of a stochastic process satisfies a specific criterion. In this paper, we use martingale theory to derive the integral fluctuation relation $\langle e^{-S_{\rm tot}(T)}\rangle=1$ for the stochastic ...
Jülicher, Frank +3 more
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