Search results for "lcsh:Probabilities. Mathematical statistics"
showing 5 items of 5 documents
Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting
2018
We show existence of a unique solution and a comparison theorem for a one-dimensional backward stochastic differential equation with jumps that emerge from a L\'evy process. The considered generators obey a time-dependent extended monotonicity condition in the y-variable and have linear time-dependent growth. Within this setting, the results generalize those of Royer (2006), Yin and Mao (2008) and, in the $L^2$-case with linear growth, those of Kruse and Popier (2016). Moreover, we introduce an approximation technique: Given a BSDE driven by Brownian motion and Poisson random measure, we consider BSDEs where the Poisson random measure admits only jumps of size larger than $1/n$. We show con…
A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
2021
We develop a new nonparametric approach for estimating the risk-neutral density of asset prices and reformulate its estimation into a double-constrained optimization problem. We evaluate our approach using the S\&P 500 market option prices from 1996 to 2015. A comprehensive cross-validation study shows that our approach outperforms the existing nonparametric quartic B-spline and cubic spline methods, as well as the parametric method based on the Normal Inverse Gaussian distribution. As an application, we use the proposed density estimator to price long-term variance swaps, and the model-implied prices match reasonably well with those of the variance future downloaded from the CBOE websi…
Tripled Fixed Point Results for T-Contractions on Abstract Metric Spaces
2014
In this paper we introduce the notion of T-contraction for tripled fi xed points in abstract metric spaces and obtain some tripled fi xed point theorems which extend and generalize well-known comparable results in the literature. To support our results, we present an example and an application to integral equations.
The Raising Factor, That Great Unknown. A Guided Activity for Undergraduate Students
2020
In the first years of their economics degree programs, students will face many problems successfully dealing with a range of subjects with quantitative content. Specifically, in the field of statistics, difficulties to reach some basic academic achievements have been observed. Hence, a continuing challenge for statistics teachers is how to make this subject more appealing for students through the design and implementation of new teaching methodologies. The latter tend to follow two main approaches. On the one hand, it is useful for the learning process to propose practical activities that can connect theoretical concepts with real applications in the economic context. On the other hand, we …
Wardowski conditions to the coincidence problem
2015
In this article we first discuss the existence and uniqueness of a solution for the coincidence problem: Find p ∈ X such that Tp = Sp, where X is a nonempty set, Y is a complete metric space, and T, S:X → Y are two mappings satisfying a Wardowski type condition of contractivity. Later on, we will state the convergence of the Picard-Juncgk iteration process to the above coincidence problem as well as a rate of convergence for this iteration scheme. Finally, we shall apply our results to study the existence and uniqueness of a solution as well as the convergence of the Picard-Juncgk iteration process toward the solution of a second order differential equation. Ministerio de Economía y Competi…