Search results for "Conditional expectation"

Simulation of BSDEs with jumps by Wiener Chaos Expansion

2016

International audience; We present an algorithm to solve BSDEs with jumps based on Wiener Chaos Expansion and Picard's iterations. This paper extends the results given in Briand-Labart (2014) to the case of BSDEs with jumps. We get a forward scheme where the conditional expectations are easily computed thanks to chaos decomposition formulas. Concerning the error, we derive explicit bounds with respect to the number of chaos, the discretization time step and the number of Monte Carlo simulations. We also present numerical experiments. We obtain very encouraging results in terms of speed and accuracy.

Contractivity results in ordered spaces. Applications to relative operator bounds and projections with norm one

2016

This paper provides various “contractivity” results for linear operators of the form I−C where C are positive contractions on real ordered Banach spaces X. If A generates a positive contraction semigroup in Lebesgue spaces Lp(μ), we show (M. Pierre's result) that A(λ−A)−1 is a “contraction on the positive cone”, i.e. A(λ−A)−1x≤x for all x∈L+p(μ)(λ>0), provided that p⩾2.  We show also that this result is not true for 1 ⩽ p<2. We give an extension of M. Pierre's result to general ordered Banach spaces X under a suitable uniform monotony assumption on the duality map on the positive cone X+. We deduce from this result that, in such spaces, I−C is a contraction on X+ for any positive projection…

Robustness of the risk–return relationship in the U.S. stock market

2008

Abstract Using GARCH-in-Mean models, we study the robustness of the risk–return relationship in monthly U.S. stock market returns (1928:1–2004:12) with respect to the specification of the conditional mean equation. The issue is important because in this commonly used framework, unnecessarily including an intercept is known to distort conclusions. The existence of the relationship is relatively robust, but its strength depends on the prior belief concerning the intercept. The latter applies in particular to the first half of the sample, where also the coefficient of the relative risk aversion is smaller and the equity premium greater than in the latter half.

Gaussian surface measures and the radon transform on separable banach spaces

1980

Bicommutants of reduced unbounded operator algebras

2009

The unbounded bicommutant $(\mathfrak M_{E'})''$ of the {\em reduction} of an O*-algebra $\MM$ via a given projection $E'$ weakly commuting with $\mathfrak M$ is studied, with the aim of finding conditions under which the reduction of a GW*-algebra is a GW*-algebra itself. The obtained results are applied to the problem of the existence of conditional expectations on O*-algebras.

European Natural Gas Seasonal Effects on Futures Hedging

2015

Abstract This paper is the first to discuss the design of futures hedging strategies in European natural gas markets (NBP, TTF and Zeebrugge). A common feature of energy prices is that conditional mean and volatility are driven by seasonal trends due to weather, demand, and storage level seasonalities. This paper follows and extends the Ederington and Salas (2008) framework and considers seasonalities in mean and volatility when minimum variance hedge ratios are computed. Our results show that hedging effectiveness is much higher when the seasonal pattern in spot price changes is approximated with lagged values of the basis (futures price minus spot price). This fact remains true for short …

Logistic Growth Described by Birth-Death and Diffusion Processes

2019

We consider the logistic growth model and analyze its relevant properties, such as the limits, the monotony, the concavity, the inflection point, the maximum specific growth rate, the lag time, and the threshold crossing time problem. We also perform a comparison with other growth models, such as the Gompertz, Korf, and modified Korf models. Moreover, we focus on some stochastic counterparts of the logistic model. First, we study a time-inhomogeneous linear birth-death process whose conditional mean satisfies an equation of the same form of the logistic one. We also find a sufficient and necessary condition in order to have a logistic mean even in the presence of an absorbing endpoint. Then…

No linealidad y asimetría en el proceso generador del Índice Ibex35

2013

This paper analyzes the behavior of Ibex35 from January 1999 to December 2001, in order to check if it follows a different process from random walk so its return is not a white noise and it can be predictable, against the efficient market hypothesis. For that, a nonlinear generating process of return will be considered and a STAR-APARCH model will be specified. This model allows a nonlinear behavior in the conditional mean and in the conditional variance. The empirical results show that the Ibex35 follows a nonlinear and asymmetric process, both in the conditional mean as in the conditional variance, so the weak-version of efficient market hypothesis is rejected. El trabajo analiza el compo…

Comparing FPCA Based on Conditional Quantile Functions and FPCA Based on Conditional Mean Function

2019

In this work functional principal component analysis (FPCA) based on quantile functions is proposed as an alternative to the classical approach, based on the functional mean. Quantile regression characterizes the conditional distribution of a response variable and, in particular, some features like the tails behavior; smoothing splines have also been usefully applied to quantile regression to allow for a more flexible modelling. This framework finds application in contexts involving multiple high frequency time series, for which the functional data analysis (FDA) approach is a natural choice. Quantile regression is then extended to the estimation of functional quantiles and our proposal exp…