http://hdl.handle.net/10453/10 Sun, 26 May 2013 06:57:36 GMT 2013-05-26T06:57:36Z http://hdl.handle.net/10453/19063 Generalised Extreme Value geoadditive model analysis via variational Bayes Nevillea Sarah; Wand Matthew Alfred Stein, Edzer Pebesma and Gerard Heuvelink We devise a variationalBayes algorithm for fast approximate inference in Bayesian GeneralizedExtremeValue additive modelanalysis. Such models are useful for flexibly assessing the impact of continuous predictor variables on sample extremes. The new methodology allows large Bayesian models to be fitted and assessed without the significant computing costs of Monte Carlo methods Sat, 01 Jan 2011 00:00:00 GMT http://hdl.handle.net/10453/19063 2011-01-01T00:00:00Z http://hdl.handle.net/10453/19062 Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach Baldeaux Jan; Chan Leung Lung; Platen Eckhard William McLean and Anthony John Roberts We apply quasi-Monte Carlo methods to the pricing of derivatives on realised variance of an index under the benchmark approach. The resulting integration problem is shown to depend on the joint density of the realised variance of the index and t he terminal value of the index. Employing a transformation mapping for this joint density to the unit square reduces the difficulty of the resulting integration problem. The quasi-Monte Carlo methods compare favourably to Monte Carlo methods when applied to the given problem. Sat, 01 Jan 2011 00:00:00 GMT http://hdl.handle.net/10453/19062 2011-01-01T00:00:00Z http://hdl.handle.net/10453/19064 On Certain Polynomials of Even Subscripted Lucas Numbers Melham Ray Howard, F. T. Fri, 01 Jan 1999 00:00:00 GMT http://hdl.handle.net/10453/19064 1999-01-01T00:00:00Z http://hdl.handle.net/10453/19061 A visual criterion for identifying Ito diffusions as martingales or strict local martingales Hulley Hardy; Platen Eckhard Dalang, R; Sozzi, M; Russo, F It is often important, in applications of stochastic calculus to financial modelling, to know whether a given local martingale is a martingale or a strict local martingale. We address this problem in the context of a time-homogenous diffusion process with a finite lower boundary, presented as the solution of a driftless stochastic differential equation. Our main theorem demonstrates that the question of whether or not this process is a martingale may be decided simply by examining the slope of a certain increasing function. Further results establish the connection between our theorem and other results in the literature, while a number of examples are provided to illustrate the use of our criterion. Sat, 01 Jan 2011 00:00:00 GMT http://hdl.handle.net/10453/19061 2011-01-01T00:00:00Z