Related papers: Time-changed \levy processes and option pricing: a…

Carr and Wu (2004), henceforth CW, developed a framework that encompasses almost all of the continuous-time models proposed in the option pricing literature. Their main result hinges on the stopping time property of the time changes, but…

Recently Carr and Wu (2004, 2005) and also Huang and Wu (2004) show that most stochastic processes used in traditional option pricing models can be cast as special cases of time-changed L\'evy processes. In particular these are models which…

This paper reviews compact continuous-time formulations for the multi-mode resource-constrained project scheduling problem. Specifically, we first point out a serious flaw in an existing start-end-event-based formulation owing to…

Cai, Song and Kou (2015) [Cai, N., Y. Song, S. Kou (2015) A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3): 540-554] made a breakthrough by proposing a general framework for pricing both discretely and…

This article proposes and studies warped-linear models for time series classification. The proposed models are time-warp invariant analogues of linear models. Their construction is in line with time series averaging and extensions of…

Many approaches have been proposed for early classification of time series in light of itssignificance in a wide range of applications including healthcare, transportation and fi-nance. Until now, the early classification problem has been…

Partial observations of continuous time-series dynamics at arbitrary time stamps exist in many disciplines. Fitting this type of data using statistical models with continuous dynamics is not only promising at an intuitive level but also has…

The shortcomings of the popular Black-Scholes-Merton (BSM) model have led to models which could more accurately model the behavior of the underlying assets in energy markets, particularly in electricity and future oil prices. In this paper…

In this paper we analyse time change equations (TCEs) for L\'evy-type processes in detail. To this end we establish a connection between TCEs and classical one-dimensional initial value problems (IVPs) which are easier to handle. Properties…

Time series prediction underpins a broad range of downstream tasks across many scientific domains. Recent advances and increasing adoption of black-box machine learning models for time series prediction highlight the critical need for…

Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…

In this paper, we focus on option pricing models based on space-time fractional diffusion. We briefly revise recent results which show that the option price can be represented in the terms of rapidly converging double-series and apply these…

This paper considers a Markovian model of a limit order book where time-dependent rates are allowed. With the objective of understanding the mechanisms through which a microscopic model of an orderbook can converge to more general diffusion…

This paper develops power series expansions of a general class of moment functions, including transition densities and option prices, of continuous-time Markov processes, including jump--diffusions. The proposed expansions extend the ones…

Timed transition systems are behavioural models that include an explicit treatment of time flow and are used to formalise the semantics of several foundational process calculi and automata. Despite their relevance, a general mathematical…

Citation recommendation is an important task to assist scholars in finding candidate literature to cite. Traditional studies focus on static models of recommending citations, which do not explicitly distinguish differences between papers…

We develop a general framework for the identification of counterfactual parameters in a class of nonlinear semiparametric panel models with fixed effects and time effects. Our method applies to models for discrete outcomes (e.g., two-way…

In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed…

Temporal alignment of sequences is a fundamental challenge in many applications, such as computer vision and bioinformatics, where local time shifting needs to be accounted for. Misalignment can lead to poor model generalization, especially…

Many records in environmental sciences exhibit asymmetric trajectories and there is a need for simple and tractable models which can reproduce such features. In this paper we explore an approach based on applying both a time change and a…