Related papers: Finite Mixture Approximation of CARMA(p,q) Models
Our main goal in this paper is to extend to any system of coupled quadratic Hamiltonians some properties known for systems of quantum harmonic oscillators related with the Brownian Quantum Motion model. In a first part we get a rather…
This work introduces an end-to-end framework for multi-asset option pricing that combines market-consistent risk-neutral density recovery with quantum-accelerated numerical integration. We first calibrate arbitrage-free marginal…
We consider a subordinate Brownian motion $X$ with Gaussian components when the scaling order of purely discontinuous part is between $0$ and $2$ including $2$. In this paper we establish sharp two-sided bounds for transition density of $X$…
Finite mixture of Gaussian distributions provide a flexible semi-parametric methodology for density estimation when the variables under investigation have no boundaries. However, in practical applications variables may be partially bounded…
Bayesian inference requires approximation methods to become computable, but for most of them it is impossible to quantify how close the approximation is to the true posterior. In this work, we present a theorem upper-bounding the KL…
In this article, we study the rate of convergence of prices when a model is approximated by some simplified model. We also provide a method how explicit error formula for more general options can be obtained if such formula is available for…
In this paper we present a robust estimator for the parameters of a continuous-time ARMA(p,q) (CARMA(p,q)) process sampled equidistantly which is not necessarily Gaussian. Therefore, an indirect estimation procedure is used. It is an…
This article addresses the problem of approximating the price of options on discrete and continuous arithmetic average of the underlying, i.e. discretely and continuously monitored Asian options, in local volatility models. A…
Finite mixture models provide a flexible framework for approximating and estimating multivariate probability densities. We study mixtures formed from translated and rescaled copies of a fixed density kernel and obtain explicit results for…
This paper is concerned with an important issue in finite mixture modelling, the selection of the number of mixing components. We propose a new penalized likelihood method for model selection of finite multivariate Gaussian mixture models.…
Motivated by mathematical tissue growth modelling, we consider the problem of approximating the dynamics of multicolor P\'olya urn processes that start with large numbers of balls of different colors and run for a long time. Using strong…
This paper is devoted to the pricing of Barrier options by optimal quadratic quantization method. From a known useful representation of the premium of barrier options one deduces an algorithm similar to one used to estimate nonlinear filter…
The aim of this paper is to study the continuity correction for barrier options in jump-diusion models. For this purpose, we express the pay-off a barrier option in terms of the maximum of the underlying process. We then condition with…
In this paper, we introduce a new and efficient data augmentation approach to the posterior inference of the models with shape parameters when the reciprocal gamma function appears in full conditional densities. Our approach is to…
It is shown in a systematic way that the instanton dilute model can be combined with the global colour symmetry model to form a new nonperturbative QCD model. Based on the quark propagator derived in the instanton dilute liquid…
We develop a mixture model for transition density approximation, together with soft model selection, in the presence of noisy and heterogeneous nonlinear dynamics. Our model builds on the Gaussian mixture transition distribution (MTD) model…
In this paper, we present a very fast Monte Carlo scheme for additive processes: the computational time is of the same order of magnitude of standard algorithms for Brownian motions. We analyze in detail numerical error sources and propose…
In this paper we analyze a method for approximating the first-passage time density and the corresponding distribution function for a CIR process. This approximation is obtained by truncating a series expansion involving the generalized…
In this paper we estimate the rest of the approximation of a stationary process by a martingale in terms of the projections of partial sums. Then, based on this estimate, we obtain almost sure approximation of partial sums by a martingale…
We consider the system of one-sided reflected Brownian motions which is in variational duality with Brownian last passage percolation. We show that it has integrable transition probabilities, expressed in terms of Hermite polynomials and…