Sampling Error Of The Supremum Of A Lvy Process
Our results help us better understand the error of approximating the continuous supremum of a Lévy process by a discrete maximum. In this talk, we present results on the discrepancy between the discrete maximum and continuous supremum of a Lévy process. Generated Thu, 27 Oct 2016 07:23:21 GMT by s_wx1085 (squid/3.5.20) ERROR The requested URL could not be retrieved The following error was encountered while trying to retrieve the URL: http://0.0.0.8/ Connection If you would like to contribute, please donate online using credit card or bank transfer or mail your tax-deductible contribution to: Mathematics Genealogy Project Department of Mathematics North Dakota State University Check This Out
Applications to options pricing in one-dimensional jump-diffusion models as well as in a two-dimensional stochastic volatility jump diffusion model are studied Zou ru mi gong : dang dai wen hua de Your order will ship within 3 business days. Generated Thu, 27 Oct 2016 07:23:22 GMT by s_wx1085 (squid/3.5.20) ERROR The requested URL could not be retrieved The following error was encountered while trying to retrieve the URL: http://0.0.0.10/ Connection Please try the request again. https://www.ideals.illinois.edu/handle/2142/26321
We will show in this thesis that under some mild conditions, the Hilbert transform can be approximated by the discrete Hilbert transforms with exponentially decaying errors in both one dimensional and Number of Pages in PDF File: 14 Keywords: normal jump diffusion process, supremum, discrete monitoring, Spitzer's identity, Euler-Maclaurin formula, Riemann zeta function, Lerch transcendent Open PDF in Browser Download This This nice property would modify the Marco Avellaneda and Mike Lipkin's jump-diffusion model for the Hard-to-Borrow stocks into the pure jump systems with stochastic intensity. The system returned: (22) Invalid argument The remote host or network may be down.
of Illinois at Urbana- Champaign, USA) 报告时间：2011年12月30日，下午4:00-5:00 报告地点：后主楼1124 报告摘要： Lévy processes have been widely used in finance to model the dynamics of asset prices. Chapter 4 and 5 focus on the reference price effect in which the price impact on demand is no longer instantaneous, but history-dependent. Journal of Applied Probability, Forthcoming. Illinois, USA Processing request.
This page was processed by apollo4 in 0.297 seconds 数学科学学院 略过内容 前往主导览功能并进行登录 前往额外信息 Nav view search 导览列 首页 新闻中心 学院通知 学院新闻 科研动态 本科生教务 研究生教务 学院概况 师资队伍 数学与数学教育研究所 教研室 分析教研室 方程教研室 代数教研室 We prove that a reference price dependent base-stock policy is optimal even though the single period expected pro t may not be concave. Seoul, Korea Processing request. In particular, we discuss the cases of Merton's jump diffusion, compound Poisson with normal jumps, normal inverse Gaussian process, variance gamma process, Kou's jump diffusion and (symmetric) stable process.
On the other hand, we match the option pricing theory against observed behavior of the options to see how the periodic buy-ins would act to cover the the cost of the O. A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes By Alan Lewis More > People who downloaded this paper also downloaded: 1. If you have any problems downloading this paper,please click on another Download Location above, or view our FAQ File name: SSRN-id1883768. ; Size: 326K You will receive a perfect bound,
Interest Rate Option Pricing with Poisson-Gaussian Forward Rate Curve Processes By Hiroshi Shirakawa 9. http://www.genealogy.ams.org/id.php?id=167539 Option Pricing Under A Double Exponential Jump Diffusion Model By Steven Kou and Hui Wang 3. If you would like to contribute, please donate online using credit card or bank transfer or mail your tax-deductible contribution to: Mathematics Genealogy Project Department of Mathematics North Dakota State University Most widely held works by Liming Feng Ji shu wen ming yu jing zhong de xian dai zhu yi yi shu by Liming Feng( Book )3 editions published in 2003 in
Box 6050 Fargo, North Dakota 58108-6050 Mathematics Genealogy Project Home Search Extrema About MGP Mission History (PDF) Support Us News Staff Recognition Acknowledgments Links FAQs Posters Submit Data Contact Mirrors NDSU his comment is here Two techniques are used with respect to the cases of the complexity of the transition density function of the underlying Lévy process. Pricing Discretely Monitored Barrier Options and Defaultable Bonds in Lévy Process Models: A Fast Hilbert Transform Approach By Liming Feng and Vadim Linetsky < Less Submit a Paper Section 508 The system returned: (22) Invalid argument The remote host or network may be down.
Your cache administrator is webmaster. addresses only. Genre:Dissertation Subject(s):Levy process supremum discrete sampling sampling error Abstract:This thesis is to study the expected difference of the continuous supremum and discrete maximum of a Lévy process that is often used http://onlivetalk.com/sampling-error/sampling-bias-vs-sampling-error.php Feedback to SSRN Paper statistics Abstract Views: 440 Downloads: 81 Download Rank: 232,132 References: 24 People who downloaded this paper also downloaded: 1.
Chapter 3 looks at the classical joint inventory-and-pricing model (single product periodic-review) with concave ordering cost. Monitoring Error of the Supremum of a Normal Jump Diffusion Process Ao Chen University of Illinois at Urbana-ChampaignLiming Feng University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Some features of this site may not work without it.
Liming Feng is an assistant professor at the University of Illinois at Urbana-Champaign.
Based on this theory, many effective numerical schemes are developed to price European and American type vanilla and exotic options under various financial assets models Topics on option valuation and model normal jump sizes. Chapter 2 proposes a general methodology to seek robust solution to multi-stage stochastic optimization problems. The Term Structure of Simple Forward Rates with Jump Risk By Paul Glasserman and Steven Kou 5.
We first propose the general steps of extending affine decision rules via re-parameterizing the uncertainty set, then propose the example of splitting-based EAARC. To submit students of this mathematician, please use the new data form, noting this mathematician's MGP ID of 167539 for the advisor ID. Generated Thu, 27 Oct 2016 07:23:21 GMT by s_wx1085 (squid/3.5.20) http://onlivetalk.com/sampling-error/sampling-error-vs-sampling-bias.php Liming Feng (Univ.
Various comparative statics are then conducted to benchmark our model against a few simpli ed models Dynamics of bankrupt stocks by Xiao Li( )1 edition published in 2011 in English and He helped build the Master of Science in Financial Engineering program at the University of Illinois and is involved in many aspects of the program. 欢迎参加！ 额外信息 关闭详细信息 最新消息 【2015-12-11】--【学院新闻】--院领导参加萧树铁教授的告别仪式 To decline or learn more, visit our Cookies page. Pricing Discretely Monitored Barrier Options and Defaultable Bonds in Levy Process Models: A Fast Hilbert Transform Approach By Liming Feng and Vadim Linetsky 10.
Your cache administrator is webmaster. University of Illinois at Urbana-Champaign 2011 Dissertation: Sampling Error of the Supremum of a Levy Process Mathematics Subject Classification: 60--Probability theory and stochastic processes Advisor 1: Renming SongAdvisor 2: Liming FengNo For this model, assuming additive demand uncertainty, we show that a generalized (s; S; p) policy is optimal under certain conditions imposed on the distribution of the random perturbation. in Mathematics from Northwestern University, and Ph.D.
Credit Spreads, Optimal Capital Structure, and Implied Volatility with Endogenous Default and Jump Risk By Nan Chen and S. We will show that the expected difference is a quantity that highly depends on the variational property of the underlying Lévy process. while retaining tractability. Generated Thu, 27 Oct 2016 07:23:21 GMT by s_wx1085 (squid/3.5.20) ERROR The requested URL could not be retrieved The following error was encountered while trying to retrieve the URL: http://0.0.0.9/ Connection
Jr (Osborne Bennett) 1928-1990 Author 张文初 Pang, Jong-Shi Li, Xiao Author Chen, Xin Petruzzi, Nicholas Klabjan, Diego Associated Subjects Aesthetics Art, Modern Art--Philosophy Arts Eastern, Monday - Friday. The system returned: (22) Invalid argument The remote host or network may be down. Users Only IDEALS Home → Graduate Dissertations and Theses at Illinois → Graduate Dissertations and Theses at Illinois → View Item Sampling error of the supremum of a Lévy process Chen,
Your cache administrator is webmaster. Box 6050 Fargo, North Dakota 58108-6050 Feng, Liming Overview Works: 16 works in 20 publications in 2 languages and 32 library holdings Roles: Author Classifications: N67, 661 Publication Timeline . To submit students of this mathematician, please use the new data form, noting this mathematician's MGP ID of 167539 for the advisor ID. For more details, view our FAQ.