Related papers: Topics in Stochastic Portfolio Theory

This is lecture notes on the course "Stochastic Processes". In this format, the course was taught in the spring semesters 2017 and 2018 for third-year bachelor students of the Department of Control and Applied Mathematics, School of Applied…

This report is a collection of comments on the Read Paper of Fearnhead and Prangle (2011), to appear in the Journal of the Royal Statistical Society Series B, along with a reply from the authors.

This is an annotated bibliography on estimation and inference results for queues and related stochastic models. The purpose of this document is to collect and categorise works in the field, allowing for researchers and practitioners to…

Consider an equity market with $n$ stocks. The vector of proportions of the total market capitalizations that belong to each stock is called the market weight. The market weight defines the market portfolio which is a buy-and-hold portfolio…

The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is…

This thesis explores the historical progression and theoretical constructs of financial mathematics, with an in-depth exploration of Stochastic Calculus as showcased in the Binomial Asset Pricing Model and the Continuous-Time Models. A…

We introduce a theory of stochastic integration with respect to a family of semimartingales depending on a continuous parameter, as a mathematical background to the theory of bond markets. We apply our results to the problem of…

We give a survey of the analytic theory of matrix orthogonal polynomials.

This is a review article for Encyclopedia of Complexity and System Science, to be published by Springer http://refworks.springer.com/complexity/. The paper reviews statistical models for money, wealth, and income distributions developed in…

I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting…

The path probability of a particle undergoing stochastic motion is studied by the use of functional technique, and the general formula is derived for the path probability distribution functional. The probability of finding paths inside a…

This is a review of current research in Markov chains as toric statistical models. Its content is mixture of background information, results from the relevant recent literature, new results, and work in progress.

Models of random phylogenetic networks have been used since the inception of the field, but the introduction and rigorous study of mathematically tractable models is a much more recent topic that has gained momentum in the last 5 years.…

The aim of this work is to give an overview of the recent developments in the area of statistical inference for parabolic stochastic partial differential equations. Significant part of the paper is devoted to the spectral approach, which is…

We present a selective review on probabilistic modeling of heterogeneity in random graphs. We focus on latent space models and more particularly on stochastic block models and their extensions that have undergone major developments in the…

We exploit the theory of $\infty$-stacks to provide some basic definitions and calculational tools regarding stratified homotopy theory of stratified topological stacks.

These are lecture notes from my talks at the "Current Developments in Mathematics" conference (Harvard, 2006). They cover a variety of topics involving symplectic cohomology. In particular, a discussion of (algorithmic) classification…

Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on…

These lecture notes are intended to cover some introductory topics in stochastic simulation for scientific computing courses offered by the IT department at Uppsala University, as taught by the author. Basic concepts in probability theory…

This is a chapter of the forthcoming Oxford Handbook on the Economics of Networks.