3 citations
4 papers
Empirical asset pricing with nonlinear risk premia
Aleksandar Mijatovic, Paul Schneider
In this paper we introduce a simple continuous-time asset pricing framework, based on general multi-dimensional diffusion processes, that combines semi-analytic pricing with a nonl…
Gradient Clock Synchronization using Reference Broadcasts
Fabian Kuhn, Rotem Oshman
In this paper we suggest a method by which reference broadcast synchronization (RBS), and other methods of estimating clock values, can be incorporated in standard clock synchroniz…
Finitely Additive Supermartingales
Gianluca Cassese
The concept of finitely additive supermartingales, originally due to Bochner, is revived and developed. We exploit it to study measure decompositions over filtered probability spac…
A model for urban growth processes with continuum state cellular automata and related differential equations
Alberto Vancheri, Paolo Giordano, Denise Andrey +1
A new kind of cellular automaton (CA) for the study of the dynamics of urban systems is proposed. The state of a cell is not described using a finite set, but by means of continuum…