A Regression Model To Investigate The Performance Of Black-Scholes Using Macroeconomic Predictors,
2014
Embry-Riddle Aeronautical University
A Regression Model To Investigate The Performance Of Black-Scholes Using Macroeconomic Predictors, Timothy A. Smith, Ersoy Subasi, Aliraza M. Rattansi
Publications
As it is well known an option is defined as the right to buy sell a certain asset, thus, one can look at the purchase of an option as a bet on the financial instrument under consideration. Now while the evaluation of options is a completely different mathematical topic than the prediction of future stock prices, there is some relationship between the two. It is worthy to note that henceforth we will only consider options that have a given fixed expiration time T, i.e., we restrict the discussion to the so called European options. Now, for a simple illustration of …
Epistasis In Predator-Prey Relationships,
2014
Georgia Southern University
Epistasis In Predator-Prey Relationships, Iuliia Inozemtseva
College of Graduate Studies: Theses & Dissertations
Epistasis is the interaction between two or more genes to control a single phenotype. We model epistasis of the prey in a two-locus two-allele problem in a basic predator- prey relationship. The resulting model allows us to examine both population sizes as well as genotypic and phenotypic frequencies. In the context of several numerical examples, we show that if epistasis results in an undesirable or desirable phenotype in the prey by making the particular genotype more or less susceptible to the predator or dangerous to the predator, elimination of undesirable phenotypes and then genotypes occurs.
Model Spaces: A Survey,
2013
University of Richmond
Model Spaces: A Survey, William T. Ross, Stephan Ramon Garcia
Department of Math & Statistics Faculty Publications
This is a brief and gentle introduction, aimed at graduate students, to the subject of model subspaces of the Hardy space.
Principal Angles And Approximation For Quaternionic Projections [Dataset],
2013
University of New Mexico
Principal Angles And Approximation For Quaternionic Projections [Dataset], Terry A. Loring
Math and Statistics Datasets
We extend Jordan's notion of principal angles to work for two subspaces of quaternionic space, and so have a method to analyze two orthogonal projections in the matrices over the real, complex or quaternionic field (or skew field). From this we derive an algorithm to turn almost commuting projections into commuting projections that minimizes the sum of the displacements of the two projections. We quickly prove what we need using the universal real C*-algebra generated by two projections.
Estimating Norms Of Commutators [Dataset],
2013
University of New Mexico
Estimating Norms Of Commutators [Dataset], Terry A. Loring, Freddy Vides
Math and Statistics Datasets
We find estimates on the norm of a commutator of the form [f(x),y] in terms of the norm of [x,y], assuming that x and y are bounded linear operators on Hilbert space, with x normal and with spectrum within the domain of f. In particular we discuss |[x^2,y]| and |[x^{1/2},y]| for 0leq x leq 1. For larger values of delta = |[x,y]| we can rigorous calculate the best possible upper bound |[f(x),y]| leq eta_f(delta) for many f. In other cases we have conducted numerical experiments that strongly suggest that we have in many cases found the correct formula for the …
On The Exact Distribution Of The Maximum Of The Exponential Of The Generalized Normal-Inverse Gaussian Process With Respect To A Martingale Measure,
2013
Louisiana State University
On The Exact Distribution Of The Maximum Of The Exponential Of The Generalized Normal-Inverse Gaussian Process With Respect To A Martingale Measure, Roman V Ivanov
Communications on Stochastic Analysis
No abstract provided.
Local Time Of A Multifractional Gaussian Process,
2013
Louisiana State University
Local Time Of A Multifractional Gaussian Process, Aissa Sghir
Communications on Stochastic Analysis
No abstract provided.
Vertical Martingales, Stochastic Calculus And Harmonic Sections,
2013
Louisiana State University
Vertical Martingales, Stochastic Calculus And Harmonic Sections, Simão N Stelmastchuk
Communications on Stochastic Analysis
No abstract provided.
Analytically Weak Solutions To Linear Spdes With Unbounded Time-Dependent Differential Operators And An Application,
2013
University of Kaiserslautern, Kaiserslautern, Germany
Analytically Weak Solutions To Linear Spdes With Unbounded Time-Dependent Differential Operators And An Application, Benedict Baur, Martin Grothaus, Thanh Tan Mai
Communications on Stochastic Analysis
No abstract provided.
Generalization Of The Anticipative Girsanov Theorem,
2013
Louisiana State University, Baton Rouge, USA
Generalization Of The Anticipative Girsanov Theorem, Hui-Hsiung Kuo, Yun Peng, Benedykt Szozda
Communications on Stochastic Analysis
No abstract provided.
Mathematical Model Of Heavy Diffusion Particles System With Drift,
2013
Louisiana State University
Mathematical Model Of Heavy Diffusion Particles System With Drift, Vitalii Konarovskyi
Communications on Stochastic Analysis
No abstract provided.
A New Type Of Reflected Backward Doubly Stochastic Differential Equations,
2013
Louisiana State University
A New Type Of Reflected Backward Doubly Stochastic Differential Equations, Auguste Aman, Yong Ren
Communications on Stochastic Analysis
No abstract provided.
Random Search Models Of Foraging Behavior: Theory, Simulation, And Observation,
2013
University of Nebraska-Lincoln
Random Search Models Of Foraging Behavior: Theory, Simulation, And Observation, Ben C. Nolting
Department of Mathematics: Dissertations, Theses, and Student Research
Many organisms, from bacteria to primates, use stochastic movement patterns to find food. These movement patterns, known as search strategies, have recently be- come a focus of ecologists interested in identifying universal properties of optimal foraging behavior. In this dissertation, I describe three contributions to this field. First, I propose a way to extend Charnov's Marginal Value Theorem to the spatially explicit framework of stochastic search strategies. Next, I describe simulations that compare the efficiencies of sensory and memory-based composite search strategies, which involve switching between different behavioral modes. Finally, I explain a new behavioral analysis protocol for identifying the …
Computing A Logarithm Of A Unitary Matrix With General Spectrum [Dataset],
2013
University of New Mexico
Computing A Logarithm Of A Unitary Matrix With General Spectrum [Dataset], Terry A. Loring
Math and Statistics Datasets
We analyze an algorithm for computing a skew-Hermitian logarithm of a unitary matrix, and also skew-Hermitian approximate logarithms for nearly unitary matrices. This algorithm is very easy to implement using standard software and it works well even for unitary matrices with no spectral conditions assumed. Certain examples, with many eigenvalues near -1, lead to very non-Hermitian output for other basic methods of calculating matrix logarithms. Altering the output of these algorithms to force an Hermitian output creates accuracy issues which are avoided by the considered algorithm. A modification is introduced to deal properly with the J-skew symmetric unitary matrices. Applications …
Leslie Matrices For Logistic Population Modeling,
2013
Western Kentucky University
Leslie Matrices For Logistic Population Modeling, Bruce Kessler
Mathematics Faculty Publications
Leslie matrices are taught as a method of modeling populations in a discrete-time fashion with more detail in the tracking of age groups within the population. Leslie matrices have limited use in the actual modeling of populations, since when the age groups are summed, it is basically equivalent to discrete-time modeling assuming exponential population growth. The logistic model of population growth is more realistic, since it takes into account a carrying capacity for the environment of the population. This talk will describe an adjustment to the Leslie matrix approach for population modeling that is both takes into account the carrying …
A Primer For Mathematical Modeling,
2013
CUNY Guttman Community College
A Primer For Mathematical Modeling, Marla A. Sole
Publications and Research
With the implementation of the National Council of Teachers of Mathematics recommendations and the adoption of the Common Core State Standards for Mathematics, modeling has moved to the forefront of K-12 education. Modeling activities not only reinforce purposeful problem-solving skills, they also connect the mathematics students learn in school with the mathematics they will use outside of school. Instructors have found mathematical modeling difficult to teach. To successfully incorporate modeling activities I believe that curricular changes should be accompanied by professional development for curriculum developers, classroom teachers, and higher education professionals. This article serves as an introduction to modeling by …
The Generalized Sub-Fractional Brownian Motion,
2013
Louisiana State University
The Generalized Sub-Fractional Brownian Motion, Aissa Sghir
Communications on Stochastic Analysis
No abstract provided.
Stein's Method For Brownian Approximations,
2013
Louisiana State University
Stein's Method For Brownian Approximations, L Coutin, L Decreusefond
Communications on Stochastic Analysis
No abstract provided.
A Clark-Ocone Type Formula Under Change Of Measure For Lévy Processes With L^2-Lévy Measure,
2013
Louisiana State University
A Clark-Ocone Type Formula Under Change Of Measure For Lévy Processes With L^2-Lévy Measure, Ryoichi Suzuki
Communications on Stochastic Analysis
No abstract provided.
Identities And Inequalities For Cdo Tranche Sensitivities,
2013
Louisiana State University
Identities And Inequalities For Cdo Tranche Sensitivities, Claas Becker, Ambar N Sengupta
Communications on Stochastic Analysis
No abstract provided.
