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Comparison of numerical and analytical approximations of the early exercise boundary of the American put option
option pricing American put option early exercise bound-ary limiting behavior close to expiry
2010/4/27
In this paper we present qualitative and quantitative comparison of various analytical and numerical approximation methods for calculating a position of the early exercise boundary of the American put...
A new space-time model for volatility clustering in the financial market
space-time model volatility clustering financial market
2010/4/27
A new space-time model for interacting agents on the financial market is presented. It is a combination of the Curie-Weiss model and a space-time model introduced by J\"arpe 2005. Properties of the mo...
A New Approximation to the Normal Distribution Quantile Function
Normal Distribution Quantile Function primary benefit
2010/4/27
We present a new approximation to the normal distribution quantile function. It has a similar form to the approximation of Beasley and Springer [3], providing a maximum absolute error of less than $2....
Computing Networks: A General Framework to Contrast Neural and Swarm Architectures
Computing Networks Contrast Neural General Framework Swarm Architectures
2010/4/1
Computing Networks (CNs) are defined. These are used to generalize neural and swarm architectures, namely artificial neural networks, ant colony optimization, and particle swarm optimization. The desc...
Impact of the tick-size on financial returns and correlations
Financialcor relations Eppseect Market emergence Covariance estimation Tick-size Market
2010/4/27
We demonstrate that the lowest possible price change (tick-size) has a large impact on the structure of financial return distributions. It induces a microstructure as well as it can alter the tail beh...
Twin-vortex solitons in nonlocal nonlinear media
Twin-vortex solitons nonlocal nonlinear media
2010/4/1
We consider soliton formation in thermal nonlinear media bounded by rectangular cross-sections and uncover a new class of nonlinear stationary topological state. Specifically, we find that stationary ...
Martingale representation for Poisson processes with applications to minimal variance hedging
Poisson process martingalerep resentation Clark-Ocone formula derivative operator Kunita-Watanabe decomposition Malliavin calculus independent random measure minimal variance hedge
2010/4/27
We consider a Poisson process $\eta$ on a measurable space $(\BY,\mathcal{Y})$ equipped with a partial ordering, assumed to be strict almost everwhwere with respect to the intensity measure $\lambda$ ...
A framework for adaptive Monte-Carlo procedures
adaptive Monte-Carlo procedures reduction techniques
2010/4/27
Adaptive Monte Carlo methods are powerful variance reduction techniques. In this work, we propose a mathematical setting which greatly relaxes the assumptions needed by for the adaptive importance sam...
Level statistics in arithmetical and pseudo-arithmetical chaos
arithmetical pseudo-arithmetical chaos
2010/4/1
We resolve a long-standing riddle in quantum chaos, posed by certain fully chaotic billiards with constant negative curvature whose periodic orbits are highly degenerate in length. Depending on the bo...
谱方法求解非惯性系中二维不可压缩渠道流
谱方法 Chebyshev-tau 方法 非惯性系 渠道流
2012/9/27
用谱方法求解了非惯性系中二维不可压缩渠道流动.控制方程采用原始变量提法,外力包括非惯性动系的线加速度以及转动角速度和角加速度引起的惯性力和科氏力.压强用 Poisson方程求解.流向用Fourier多项式离散,竖向用 Chebyshev多项式离散.将边界条件用谱多项式展开,在谱空间用Chebyshev-tau 方法时间推进求解半隐式离散的速度方程和直接求解压强方程.利用该算法,分别计算了动系作匀速...
Optimal stopping of expected profit and cost yields in an investment under uncertainty
variational inequalities cost yields expected profit
2010/4/27
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formu...
Matricial representation of period doubling cascade
period doubling cascade inverse permutation
2010/4/1
Starting from the cycle permutation sigma_(2^k) associated with the (2^k)-periodic orbit of the period doubling cascade we obtain the inverse permutation (sigma_(2^k))^-1. Then we build a matrix permu...
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
High-frequency data integrated volatility spot volatility estimation Le Cam defciency equivalence of experiments Gaussianshift
2010/4/27
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sens...
Zipf's law is the most common statistical distribution displaying scaling behavior. Cities, populations or firms are just examples of this seemingly universal law. Although many different models have ...
Arbitrage Bounds for Weighted Variance Swap Prices
Arbitrage Bounds Weighted Variance Swap Prices
2010/4/27
Consider a frictionless market trading a finite number of co-maturing European call and put options written on a risky asset plus an instrument with path-dependent payoff known as a weighted variance ...