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 ...
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 ...
Heterogeneousagentmodels(HAMs)infinanceandeconomicsareoftencharacterised by highdimensionalnonlinearstochasticdifferentialordifferencesystems.Becauseof thecomplexityoftheinteractionbetweenthenonlinearitiesandnoise,acommonly ...
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, ...
Lattice quadrature rules were introduced by Frolov (1977), Sloan (1985) and Sloan and Kachoyan (1987). They are quasi-Monte Carlo rules for the approximation of integrals over the unit cube in R(s) and are generalizations ...
The design of large, complex computer based systems, based on their architecture, will benefit from a formal system that is intuitive, scalable and accessible to practitioners. The work herein is based in graphs which are ...
We derive the precise asymptotic distributional behavior of Gaussian variational approximate estimators of the parameters in a single-predictor Poisson mixed model. These results are the deepest yet obtained concerning the ...
Samworth, R; Wand, Matt(Institute of Mathematical Statistics, 2010)
We study kernel estimation of highest-density regions (HDR). Our main contributions are two-fold. First, we derive a uniform-in-bandwidth asymptotic approximation to a risk that is appropriate for HDR estimation. This ...
We investigate kernel estimators of multivariate density derivative functions using general (or unconstrained) bandwidth matrix selectors. These density derivative estimators have been relatively less well researched than ...
In this paper, we consider an initial-boundary value problem for the following nonlinear telegraph equation Utt - U xx + 2au, + bu = f3(u 2 )xx, where t > 0, a, band (3 are constants. For the case b > a2 , we establish ...
Hogan, Warren(ANU College of Business & Economics, 2009)
The Australian Government's guarantee of funds lodged with deposit-taking entities in Australia, and of security issues by Australian banks, has fostered support for smaller and less well-placed financial entities compared ...
Simple financial ratios such as book-to-market are often used to identify value stocks. This paper examines the extent to which fundamental accounting information can be used to better identify truly undervalued value ...
Background: Matching functional sites is a key problem for the understanding of protein function and evolution. The commonly used graph theoretic approach, and other related approaches, require adjustment of a matching ...
We develop a simple behavioral asset pricing model with fundamentalists and chartists in order to study price behavior in financial markets when chartists estimate both conditional mean and variance by using a weighted ...
Glover, Kristoffer; Peskir, Goran; Samee, F(Taylor and Francis, 2011)
Following the economic rationale of the British put and call option, we present a new class of lookback options (by first studying the canonical 'Russian' variant) where the holder enjoys the early exercise feature of ...
This paper uses Lie symmetry methods to calculate certain expectations for a large class of Ito diffusions. We show that if the problem has sufficient symmetry, then the problem of computing functionals of the form ...