Related papers: Computational method for probability distribution …
We derive a recursive formula for arithmetic Asian option prices with finite observation times in semimartingale models. The method is based on the relationship between the risk-neutral expectation of the quadratic variation of the return…
Mixture models have received considerable attention recently and Newton [Sankhy\={a} Ser. A 64 (2002) 306--322] proposed a fast recursive algorithm for estimating a mixing distribution. We prove almost sure consistency of this recursive…
The aim of a probabilistic resource analysis is to derive a probability distribution of possible resource usage for a program from a probability distribution of its input. We present an automated multi- phase rewriting based method to…
In this paper, an alternative Discrete skew Logistic distribution is proposed, which is derived by using the general approach of discretizing a continuous distribution while retaining its survival function. The properties of the…
We provide theoretical error bounds for the accurate numerical computation of the quantile function given the characteristic function of a continuous random variable. We show theoretically and empirically that the numerical error of the…
Probabilistic modeling is cyclical: we specify a model, infer its posterior, and evaluate its performance. Evaluation drives the cycle, as we revise our model based on how it performs. This requires a metric. Traditionally, predictive…
Representations based on random walks can exploit discrete data distributions for clustering and classification. We extend such representations from discrete to continuous distributions. Transition probabilities are now calculated using a…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
Regulatory requirements dictate that financial institutions must calculate risk capital (funds that must be retained to cover future losses) at least annually. Procedures for doing this have been well-established for many years, but recent…
Risk aggregation is a popular method used to estimate the sum of a collection of financial assets or events, where each asset or event is modelled as a random variable. Applications, in the financial services industry, include insurance,…
In this paper, the statistical properties of Newton s method algorithm output in a specific case have been studied. The relative frequency density of this sample converges to a well-defined function, prompting us to explore its…
Let $X_1,\ldots,X_M$ and $Y_1,\ldots,Y_N$ be independent zero mean normal random variables with variances $\sigma_{X_i}^2$, $i=1,\ldots,M$, and $\sigma_{Y_j}^2$, $j=1,\ldots,N$, respectively, and let $X=X_1\cdots X_M$ and $Y=Y_1\cdots Y_N$.…
Distance distributions are a key building block in stochastic geometry modelling of wireless networks and in many other fields in mathematics and science. In this paper, we propose a novel framework for analytically computing the closed…
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loss exposures such as loans, bonds and other financial assets. We are particularly interested in the probability of large portfolio losses. We…
Let $X$ be a random variable that takes its values in $\frac{1}{q}\mathbb{Z}$, for some integer $q\ge2$, and consider $X$ rounded to an integer, either downwards or upwards or to the nearest integer. We give general formulas for the…
This note contains sufficient conditions for the probability density function of an arbitrary continuous univariate distribution, supported on $(0,\infty),$ such that the corresponding Mills ratio to be reciprocally convex (concave). To…
This paper introduces a novel approach to investigate the dynamics of state distributions, which accommodate both cross-sectional distributions of repeated panels and intra-period distributions of a time series observed at high frequency.…
We present a simple approach to forecasting conditional probability distributions of asset returns. We work with a parsimonious specification of ordered binary choice regression that imposes a connection on sign predictability across…
There is given a method for estimation of a probability distribution tail in terms of characteristic function. Key words: characteristic function; tail of a distribution.
In [3], we have introduced a probability measure to study the power and exponential sums for a certain coding system. The distribution function of the probability measure gives explicit formulas for the power and exponential sums.…