相关论文: Is the variance swap rate affine in the spot varia…

We study the exponential Ornstein-Uhlenbeck stochastic volatility model and observe that the model shows a multiscale behavior in the volatility autocorrelation. It also exhibits a leverage correlation and a probability profile for the…

Focusing on the bipartite Stable Marriage problem, we investigate different robustness measures related to stable matchings. We analyze the computational complexity of computing them and analyze their behavior in extensive experiments on…

We consider a stochastic volatility model which captures relevant stylized facts of financial series, including the multi-scaling of moments. The volatility evolves according to a generalized Ornstein-Uhlenbeck processes with super-linear…

This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…

The recent liberalization of the electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity spot prices using a mean-reverting model which fits…

The robust option pricing problem is to find upper and lower bounds on fair prices of financial claims using only the most minimal assumptions. It contrasts with the classical, model-based approach and gained prominence in the wake of the…

We develop Edgeworth expansion theory for spot volatility estimator under general assumptions on the log-price process that allow for drift and leverage effect. The result is based on further estimation of skewness and kurtosis, when…

The concepts of scale invariance, self-similarity and scaling have been fruitfully applied to the study of price fluctuations in financial markets. After a brief review of the properties of stable Levy distributions and their applications…

We introduce a highly expressive class of function approximators called Splat Regression Models. Model outputs are mixtures of heterogeneous and anisotropic bump functions, termed splats, each weighted by an output vector. The power of…

In this article we demonstrate the relationship between finitely exchangeable arrays and finitely exchangeable sequences. We then derive sharp bounds on the total variation distance between distributions of finitely and infinitely…

We present a discrete time stochastic volatility model in which the conditional distribution of the logreturns is a Variance-Gamma, that is a normal variance-mean mixture with Gamma mixing density. We assume that the Gamma mixing density is…

In this article we prove that given a self-similar interval exchange transformation T, whose associated matrix verifies a quite general algebraic condition, there exists an affine interval exchange transformation with wandering intervals…

The SABR model is shortly presented and the volatility swap explained. The fair value for a volatility swap is then computed using the usual theory in financial mathematics. An analytical solution using confluent hypergeometric functions is…

In an observed generalized semi-Markov regime, estimation of transition rate of regime switching leads towards calculation of locally risk minimizing option price. Despite the uniform convergence of estimated step function of transition…

We study networks of coupled bistable elastic elements, recently proposed as a model for crumpled thin sheets. The networks are poised on the verge of a localized instability, and the model allows unique access to both local and global…

We study valence fluctuations at finite temperatures in the extended periodic Anderson model, where the Coulomb interaction between conduction and localized $f$-electrons is taken into account, using dynamical mean-field theory combined…

This paper explores the application of Sample Entropy (SampEn) as a sophisticated tool for quantifying and predicting volatility in international oil price returns. SampEn, known for its ability to capture underlying patterns and predict…

Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws…

We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency 1/\Delta_n, with \Delta_n going to zero. The goal of this paper is to provide an estimator for the integral over [0,t] of a given function of the…

In random matrix theory, the spectral distribution of the covariance matrix has been well studied under the large dimensional asymptotic regime when the dimensionality and the sample size tend to infinity at the same rate. However, most…