Related papers: Regular Variation and Smile Asymptotics
In this paper we derive the tail asymptotics of the product of two dependent Weibull-type risks, which is of interest in various statistical and applied probability problems. Our results extend some recent findings of Schlueter and Fischer…
When asymptotically analysing the summatory function of a $q$-regular sequence in the sense of Allouche and Shallit, the eigenvalues of the sum of matrices of the linear representation of the sequence determine the "shape" (in particular…
Variational inference is a general framework to obtain approximations to the posterior distribution in a Bayesian context. In essence, variational inference entails an optimization over a given family of probability distributions to choose…
Measures of risk concentration and their asymptotic behavior for portfolios with heavy-tailed risk factors is of interest in risk management. Second order regular variation is a structural assumption often imposed on such risk factors to…
Strongly consistent estimates are shown, via relative frequency, for the probability of "white balls" inside a dichotomous urn when such a probability is an arbitrary continuous time dependent function over a bounded time interval. The…
We revisit the problem of pricing options with historical volatility estimators. We do this in the context of a generalized GARCH model with multiple time scales and asymmetry. It is argued that the reason for the observed volatility risk…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…
Recently, the concept of tail dependence has been discussed in financial applications related to market or credit risk. The multivariate extreme value theory is a proper tool to measure and model dependence, for example, of large loss…
The variance of the number of lattice points inside the dilated bounded set rD with random position in R^d has asymptotics r^(d-1) if the rotational quadratic average of the modulus of the Fourier transform of the set is O(r^(-d-1)). The…
Vanna-Volga is a popular method for the interpolation/extrapolation of volatility smiles. The technique is widely used in the FX markets context, due to its ability to consistently construct the entire Lognormal smile using only three…
Let F be a distribution function with negative mean and regularly varying right tail. Under a mild smoothness condition we derive higher order asymptotic expansions for the tail distribution of the maxima of the random walk generated by F.…
It is well known that the product of two independent regularly varying random variables with the same tail index is again regularly varying with this index. In this paper, we provide sharp sufficient conditions for the regular variation…
Asymptotic expansion of a variation with anticipative weights is derived by the theory of asymptotic expansion for Skorohod integrals having a mixed normal limit. The expansion formula is expressed with the quasi-torsion, quasi-tangent and…
A formalism is presented to obtain closed evolution equations for asymptotic probability distribution functions of turbulence magnitudes. The formalism is derived for a generic evolution equation, so that the final result can be easily…
Here I propose a novel theory in which humor is the feeling of Rapid Anxiety Reduction (RAR). According to RAR, humor can be expressed in a simple formula: -d(A)/dt. RAR has strong correspondences with False Alarm Theory, Benign Violation…
We study statistical properties of the random variables $X_{\sigma}(\pi)$, the number of occurrences of the pattern $\sigma$ in the permutation $\pi$. We present two contrasting approaches to this problem: traditional probability theory and…
The problem of estimating the tail index from truncated data is addressed in Chakrabarty and Samorodnitsky (2009). In that paper, a sample based (and hence random) choice of k is suggested, and it is shown that the choice leads to a…
A motivating question in this paper is whether a sensible investment strategy may systematically contain long positions in out-of-the-money European calls with short expiry. Here we consider a very simple trading strategy for calls. The…
In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. In this paper, we focus on the asymptotic behavior of these measures in a multivariate regular variations context. For models with equivalent…
By random complex zeroes we mean the zero set of a random entire function whose Taylor coefficients are independent complex-valued Gaussian variables, and the variance of the k-th coefficient is 1/k!. This zero set is distribution invariant…