32 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Stony Brook UniversityUS7 papers
- Texas Tech UniversityUS7 papers
- Massachusetts Institute of TechnologyUS2 papers
- TU WienAT2 papers
- University of Massachusetts BostonUS2 papers
- Applied Mathematics (United States)US1 paper
- AspenTech (United States)US1 paper
- Astrophysique Relativiste, Théories, Expériences, Métrologie, Instrumentation, SignauxFR1 paper
- Centre de Recherche en InformatiqueFR1 paper
- Centre de Recherche en Informatique, Signal et Automatique de LilleFR1 paper
- Centre National de la Recherche ScientifiqueFR1 paper
- Charles Schwab Corporation (United States)1 paper
21 papers
Quantum stroboscopy for time measurements
Seth Lloyd, Lorenzo Maccone, Lionel Martellini +1
Mielnik's cannonball argument uses the Zeno effect to argue that projective measurements for time of arrival are impossible. If one repeatedly measures the position of a particle (…
Quantum arrival times in free fall
Mathieu Beau, Timothey Szczepanski, Rafael Martellini +1
The probability distribution of a time measurement at position can be inferred from the probability distribution of a position measurement at time as given by t…
Pick the Largest Margin for Robust Detection of Splicing
Julien Simon de Kergunic, Rony Abecidan, Patrick Bas +1
Despite advancements in splicing detection, practitioners still struggle to fully leverage forensic tools from the literature due to a critical issue: deep learning-based detectors…
Time-of-arrival distributions for continuous quantum systems and application to quantum backflow
Mathieu Beau, Maximilien Barbier, Rafael Martellini +1
Using standard results from statistics, we show that for any continuous quantum system (Gaussian or otherwise) and any observable (position or otherwise), the distrib…
Quantum delay in the time of arrival of free-falling atoms
Mathieu Beau, Lionel Martellini
Using standard results from statistics, we show that for Gaussian quantum systems the distribution of a time measurement at a fixed position can be directly inferred from the distr…
Option Pricing Incorporating Factor Dynamics in Complete Markets
Yuan Hu, Abootaleb Shirvani, W. Brent Lindquist +2
Using the Donsker-Prokhorov invariance principle we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important conside…
Robust multivariate methods in Chemometrics
Peter Filzmoser, Sven Serneels, Ricardo Maronna +1
This chapter presents an introduction to robust statistics with applications of a chemometric nature. Following a description of the basic ideas and concepts behind robust statisti…
Optimal Transport and Risk Aversion in Kyle's Model of Informed Trading
Kerry Back, Francois Cocquemas, Ibrahim Ekren +1
We establish connections between optimal transport theory and the dynamic version of the Kyle model, including new characterizations of informed trading profits via conjugate duali…
Option Pricing in Markets with Informed Traders
Yuan Hu, Abootaleb Shirvani, Stoyan Stoyanov +3
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new mo…
Choosing the Right Return Distribution and the Excess Volatility Puzzle
Abootaleb Shirvani, Frank J. Fabozzi
Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility puzzl…
Option Pricing in an Investment Risk-Return Setting
Abootaleb Shirvani, Frank J. Fabozzi, Stoyan V. Stoyanov
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can constr…
Option Pricing with Mixed Levy Subordinated Price Process and Implied Probability Weighting Function
Abootaleb Shirvani, Yuan Hu, Svetlozar T. Rachev +1
It is essential to incorporate the impact of investor behavior when modeling the dynamics of asset returns. In this paper, we reconcile behavioral finance and rational finance by i…
Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation
Yuan Hu, Svetlozar T. Rachev, Frank J. Fabozzi
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately…
Sliced Average Variance Estimation for Multivariate Time Series
Markus Matilainen, Christophe Croux, Klaus Nordhausen +1
Supervised dimension reduction for time series is challenging as there may be temporal dependence between the response and the predictors . Recently a time serie…
Another Look at the Ho-Lee Bond Option Pricing Model
Young Shin Kim, Stoyan Stoyanov, Svetlozar Rachev +1
In this paper, we extend the classical Ho-Lee binomial term structure model to the case of time-dependent parameters and, as a result, resolve a drawback associated with the model.…
Option pricing for Informed Traders
Stoyan V. Stoyanov, Yong Shin Kim, Svetlozar T. Rachev +1
In this paper we extend the theory of option pricing to take into account and explain the empirical evidence for asset prices such as non-Gaussian returns, long-range dependence, v…
Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing
Svetlozar Rachev, Stoyan Stoyanov, Frank J. Fabozzi
We derive behavioral finance option pricing formulas consistent with the rational dynamic asset pricing theory. In the existing behavioral finance option pricing formulas, the pric…
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach
Svetlozar Rachev, Stoyan Stoyanov, Stefan Mittnik +2
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as anomalies the theory of rational finance cannot explain: Predi…
Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion
Y. S. Kim, S. Stoyanov, S. Rachev +1
We construct a binomial tree model fitting all moments to the approximated geometric Brownian motion. Our construction generalizes the classical Cox-Ross-Rubinstein, the Jarrow-Rud…
Parametric inference of hidden discrete-time diffusion processes by deconvolution
Salima El Kolei, Florian Pelgrin
We study a new parametric approach for hidden discrete-time diffusion models. This method is based on contrast minimization and deconvolution and leads to estimate a large class of…
A Semi-Parametric Approach to the Detection of Non-Gaussian Gravitational Wave Stochastic Backgrounds
Lionel Martellini, Tania Regimbau
Using a semi-parametric approach based on the fourth-order Edgeworth expansion for the unknown signal distribution, we derive an explicit expression for the likelihood detection st…