Related papers: Universal Fluctuations of the FTSE100
The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To overcome some of the well-known problems of the Heston model, and more generally of the affine models, we define a new specification for the…
In this paper, we discuss the ambiguous chance constrained based portfolio optimization problems, in which the perturbations associated with the input parameters are stochastic in nature, but their distributions are not known precisely. We…
If the inflaton potential has multiple minima, as may be expected in, e.g., the string theory "landscape", inflation predicts a probability distribution for the cosmological parameters describing spatial curvature (Omega_tot), dark energy…
In this paper, we study the Black-Litterman (BL) asset allocation model (Black and Litterman, 1990) under the hidden truncation skew-normal distribution (Arnold and Beaver, 2000). In particular, when returns are assumed to follow this skew…
The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and…
We present a general approach to the problem of determining the asymptotic order of the variance of the optimal score between two independent random sequences defined over an arbitrary finite alphabet. Our general approach is based on…
Estimating the probability distribution 'q' governing the behaviour of a certain variable by sampling its value a finite number of times most typically involves an error. Successive measurements allow the construction of a histogram, or…
Consider random matrices $A$, of dimension $m\times (m+n)$, drawn from an ensemble with probability density $f(\rmtr AA^\dagger)$, with $f(x)$ a given appropriate function. Break $A = (B,X)$ into an $m\times m$ block $B$ and the…
In this paper, we introduce EvoPort, a novel evolutionary portfolio optimization method that leverages stochastic exploration over a spectrum of investment pipeline depths. From raw equity data, we employ a randomized feature generation…
We derive a closed-form expression capturing the degree of Relative Risk Aversion (RRA) of investors for non-"fair" lotteries. We argue that our formula is superior to earlier methods that have been proposed, as it is a function of only…
Following Boukai (2021) we present the Generalized Gamma (GG) distribution as a possible RND for modeling European options prices under Heston's (1993) stochastic volatility (SV) model. This distribution is seen as especially useful in…
The estimation of mutation probabilities and relative fitnesses in fluctuation analysis is based on the unrealistic hypothesis that the single-cell times to division are exponentially distributed. Using the classical Luria-Delbr\"{u}ck…
Different choices exist for the renormalisation group resummation in the determination of $\alpha_s$ from hadronic $\tau$ decays: namely fixed-order (FOPT) and contour-improved perturbation theory (CIPT). The two approaches lead to…
In a network of reinforced stochastic processes, for certain values of the parameters, all the agents' inclinations synchronize and converge almost surely toward a certain random variable. The present work aims at clarifying when the agents…
By optimal fluctuation method, we study short-time distribution $P(\mathcal{A}=A)$ of the functionals, $\mathcal{A}=\int_{0}^{t_f} x^n(t) dt$, along constrained trajectories of random acceleration process for a given time duration $t_f$,…
We investigate the use of spatial interpolation methods for reconstructing the horizontal near-surface wind field given a sparse set of measurements. In particular, random Fourier features is compared to a set of benchmark methods including…
Reviewing the semiclassical theory for the parametric level density fluctuations, we show that for large parametric changes the density correlation function, after rescaling, becomes universal and coincides with the leading asymptotic term…
A large population of extended substructures generates a stochastic gravitational field that is fully specified by the function $p({\bf F})$, which defines the probability that a tracer particle experiences a force $\bf F$ within the…
We study the asymptotic normality of two feasible estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation of the spot volatility. We show that the bias-corrected…
Eternally inflating universes can contain large thermalized regions with different values of the constants of Nature and with different density fluctuation spectra. To find the probability for a `typical' observer to detect a certain set of…