A5067460093- Stochastic processes and financial applications
- Financial Risk and Volatility Modeling
- Stochastic processes and statistical mechanics
- Financial Markets and Investment Strategies
- Radiative Heat Transfer Studies
- Economic theories and models
- Mathematical Dynamics and Fractals
- Numerical methods in inverse problems
- Calibration and Measurement Techniques
- Capital Investment and Risk Analysis
- Theoretical and Computational Physics
- Stock Market Forecasting Methods
- Forensic Anthropology and Bioarchaeology Studies
- Monetary Policy and Economic Impact
- Insurance, Mortality, Demography, Risk Management
- Markov Chains and Monte Carlo Methods
- Fractal and DNA sequence analysis
- Infrared Thermography in Medicine
- Auction Theory and Applications
- Credit Risk and Financial Regulations
- Vacuum and Plasma Arcs
- Graphite, nuclear technology, radiation studies
- Genome Rearrangement Algorithms
- Electrostatic Discharge in Electronics
- Pacific and Southeast Asian Studies
American University of Sharjah
2011-2025
Centre de Recherche et d’Enseignement de Géosciences de l’Environnement
2014-2024
Sustainable Europe Research Institute
2024
Aix-Marseille Université
2014-2023
Institut de Recherche pour le Développement
2014-2023
Centre National de la Recherche Scientifique
2014-2023
Institut National de Recherche pour l'Agriculture, l'Alimentation et l'Environnement
2023
Collège de France
2023
Kiel University
2014
Université Toulouse III - Paul Sabatier
2004-2006
Detailed knowledge of gene maps or even complete nucleotide sequences for small genomes leads to the feasibility evolutionary inference based on macrostructure entire genomes, rather than traditional comparison homologous versions a single in different organisms. The mathematical modeling evolution at genomic level, however, and associated inferential apparatus are qualitatively from usual sequence theory developed study level individual sequences. We describe construction database 16...
This article examines the martingale difference hypothesis (MDH) and random walk (RWH) for nine conventional Islamic stock indices: Asia-Pacific, Canadian, Developed Country, Emerging, European, Global, Japanese, UK, United States. It investigates whether indices are more, less, or as efficient their counterparts. We test four sub-periods of bullish bearish markets, together with financial meltdown its recovery, over period 1997–2012. use Escanciano Lobato's (2009) automatic portmanteau (AQ)...
Abstract A particular inverse design problem is proposed as a benchmark for comparison of five solution techniques used in enclosures with radiating sources. The enclosure three-dimensional and includes some surfaces that are diffuse others specular diffuse. Two aspect ratios treated. completely described, solutions presented obtained by the Tikhonov method, truncated singular value decomposition, conjugate gradient regularization, quasi-Newton minimization, simulated annealing. All use...
American options have long received considerable attention in the literature, with numerous publications dedicated to their pricing. Bermudan and randomized are broadly used estimate prices efficiently. Notably, penalty method yields option that coincide those of options. However, theoretical results regarding speed convergence these approximations price remain scarce. In this paper, we address gap by establishing a general result on limits. We prove for convex payoff functions, is linear;...
Abstract We study the value of European security derivatives in Black–Scholes model when underlying asset $\xi $ is approximated by random walks ${\xi }^{(n)} . obtain an explicit error formula, up to a term order \mathcal{O} ({n}^{- 3/ 2} )$ , which valid for general approximating schemes and payoff functions. show how this formula can be used find option values converge at speed
Oscillations in option price convergence have long been a problematic aspect of tree methods, inhibiting the use repeated Richardson extrapolation that could otherwise greatly accelerate convergence, feature integral to some most efficient modern methods. These oscillations are typically caused by fluctuating positions nodes around discontinuities payoff function or its derivatives. Our paper addresses this crucial gap prohibits lattice methods when high efficiency is needed. Focusing on...
We describe a broad setting under which, for European options, if the underlying asset form geometric random walk then, error with respect to Black–Scholes model converges zero at speed of 1/n continuous payoffs functions, and discontinuous functions.
We study the convergence of binomial, trinomial, and more generally m-nomial tree schemes when evaluating certain European path-independent options in Black–Scholes setting. To our knowledge, results here are first for trinomial trees. Our main result provides formulae coefficients 1/n expansion error digital standard put call options. This is obtained from an Edgeworth series form Kolassa–McCullagh, which we derive a recently established Esseen/Bhattacharya Rao triangular arrays random...
In a thorough study of binomial trees, Joshi introduced the split tree as two-phase designed to minimize oscillations, and demonstrated empirically its outstanding performance when applied pricing American put options. Here we introduce “flexible” version Joshi’s tree, develop corresponding convergence theory in European case: find closed form formula for coefficients 1/n 1/n3/2 expansion error. Then define several optimized versions formulae parameters these optimal variants. numerical...
Abstract The valuation of American options is an optimal stopping time problem which typically leads to a free boundary problem. We introduce here the randomization exercisability option. This method considerably simplifies problematic by transforming into evolution equation. equation can be transformed in way that decomposes value randomized option European and present continuously paid benefits. yields new binomial approximation for options. prove accurate numerical results illustrate it...
The analysis of the convergence tree methods for pricing barrier and lookback options has been subject numerous publications aimed at describing, quantifying improving slow oscillatory in such methods. For options, we find path-independent whose price is exactly that original path-dependent option. usual binomial models converge a speed order 1 / √n to Black–Scholes price. Our new approach yields n. Further, derive closed-form formula coefficient n expansion error our when underlying...
A general class of finite variance critical $(\xi, \Phi, k)$-superprocesses $X$ in a Luzin space $E$ with cadlag right Markov motion process $\xi$, regular local branching mechanism and functional $k$ bounded characteristic are shown to continuously depend on $(\Phi, k)$. As an application we show that the processes classical $k(ds) = \varrho_s (\xi_s) ds [that is, generated by rate $\varrho_s (y)] dense above $X$. Moreover, that, if phase is compact metric $\xi$ Feller process, then always...
In the [Formula: see text]-period Cox, Ross, and Rubinstein (CRR) model, we achieve smooth convergence of European vanilla options to their Black–Scholes limits simply by altering probability at one node, in fact, preterminal node between closest neighbors strike terminal layer. For barrier options, do even better, obtaining order text] just nearest barrier, but only first time it is hit. First-order for was already achieved Tian’s flexible model here show how second can be changing...
Risk neutral densities recovered from option prices can be used to infer market participants expectations of future stock returns and are a vital tool for pricing illiquid exotic options. Although there is broad literature on the subject, most studies do not address likelihood default. To fill this gap, in paper we develop novel method retrieve risk probability density function call options written defaultable asset. The primary advantage that default probabilities inferred by model...