The objective of this paper is to consider defaultable term structure models in a general setting beyond standard risk-neutral models. Using as numeraire the growth optimal portfolio, defaultable interest rate derivatives ...
To date, classical mass renormalization has been invoked in all tube-based self-force calculations, thus following the method introduced in Dirac's 1938 calculation of the electromagnetic self-force for the classical ...
In this paper we consider the pricing of an American call option whose underlying asset dynamics evolve under the influence of two independent stochastic volatility processes as proposed in Christoffersen, Heston and Jacobs ...
Melham, Ray(State University of West Georgia, 2010)
Jacobi's two-square theorem states that the number of representations of a positive integer k as a sum of two squares, counting order and sign, is 4 times the surplus of positive divisors of k congruent to 1 modulo 4 ...
The Average Run Length (ARL) is a performance measure that is frequently used in control charts. Cumulative Sum (CUSUM) is a popular procedure in quality control as it is a sensitive detector of small shifts in values of ...
Many authors in recent years have proposed extensions of familiar survival analysis methodologies to apply in dependent data settings, for example, when data are clustered or subject to repeated measures. However, these ...
Goetghebeur, Els; Ryan, Louise(Oxford University Press, 1995)
We propose a method to analyse competing risks survival data when failure types are missing for some individuals. Our approach is based on a standard proportional hazards structure for each of the failure types, and involves ...
Community intervention trials are becoming increasingly popular as a tool for evaluating the effectiveness of health education and intervention strategies. Typically, units such as households, schools, towns, counties, are ...
Assuminga smooth trendp lus independente rrorm odel fort he environmentael ffects in the yields of a fieldp lot experiment,le ast squares smoothingm ethodsa re developed to estimate both the treatmente ffectsa nd the ...
The number of in vitro fertilization (IVF) cycles in the United States increased from fewer than 46,000 in 1995 to more than 120,000 in 2005. IVF and other assisted reproductive technology (ART) data are routinely collected ...
Women tend to repeat reproductive outcomes, with past history of an adverse outcome being associated with an approximate two-fold increase in subsequent risk. These observations support the need for statistical designs and ...
We consider the fate of output in the Cournot oligopoly model when the equilibrium is locally unstable. We discuss types of nonlinearities which may be present to bound the motion and introduce time lags in production and ...
Heterogeneousagentmodels(HAMs)infinanceandeconomicsareoftencharacterised by highdimensionalnonlinearstochasticdifferentialordifferencesystems.Becauseof thecomplexityoftheinteractionbetweenthenonlinearitiesandnoise,acommonly ...
Suriyakat, Wannaporn; Areepong, Yupaporn; Sukparungsee, Saowanit; Mititelu, Gabriel(International Association of Engineers, 2012)
? The Exponentially Weighted Moving Average (EWMA) procedure are used for monitoring and detecting small shifts in the process mean which performs quicker than the Shewhart control chart. Usually, the common assumption ...
Zhang, Ji-Wen; Zhang, Nong; Crowther, Ashley(Kinokuniya Co Ltd, 2011)
Brake groan is a friction-induced vibration occurring on the contact surface between rotor and brake in a vehicle. In this paper, a two degree-of-freedom rotor and brake model driven by a displacement input is adopted to ...
In this paper we provide an annotated bibliography of about 140 papers which have appeared in journals in a variety of areas in the last 5 years and in which a fractional factorial design has been used. For each reference, ...
The purpose of this paper is to demonstrate the application of generalized estimating equations to assess an exposure effect using multiple birth outcomes. This multivariate approach provides the flexibility of regression ...