421 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University College LondonGB63 papers
- Systemic Risk CentreGB48 papers
- University of OxfordGB20 papers
- University of WarwickGB18 papers
- King's College LondonGB16 papers
- London Mathematical LaboratoryGB12 papers
- University of Illinois Urbana-ChampaignUS12 papers
- Centre National de la Recherche ScientifiqueFR11 papers
- Queen Mary University of LondonGB11 papers
- The Open UniversityGB11 papers
- City, University of LondonGB10 papers
- ETH ZurichCH10 papers
38 papers · 1 filter
Disregarding the 'Hole Argument'
Bryan W. Roberts
Jim Weatherall has suggested that Einstein's hole argument, as presented by Earman and Norton (1987), is based on a misleading use of mathematics. I argue on the contrary that Weat…
Recursive Inspection Games
Bernhard von Stengel
We consider a sequential inspection game where an inspector uses a limited number of inspections over a larger number of time periods to detect a violation (an illegal act) of an i…
Structural Change in Sparsity
Sokbae Lee, Yuan Liao, Myung Hwan Seo +1
In the high-dimensional sparse modeling literature, it has been crucially assumed that the sparsity structure of the model is homogeneous over the entire population. That is, the i…
Continuous-time perpetuities and time reversal of diffusions
Constantinos Kardaras, Scott Robertson
We consider the problem of estimating the joint distribution of a continuous-time perpetuity and the underlying factors which govern the cash flow rate, in an ergodic Markov model.…
An extended Generalised Variance, with Applications
Luc Pronzato, Henry Wynn, Anatoly Zhigljavsky
We consider a measure k of dispersion which extends the notion of Wilk's generalised variance, or entropy, for a d-dimensional distribution, and is based on the mean squared vo…
On Convex Least Squares Estimation when the Truth is Linear
Yining Chen, Jon A. Wellner
We prove that the convex least squares estimator (LSE) attains a pointwise rate of convergence in any region where the truth is linear. In addition, the asymptotic distr…
A Conversation with Howell Tong
Kung-Sik Chan, Qiwei Yao
The following conversation is partly based on an interview that took place in the Hong Kong University of Science and Technology in July 2013.
Robust Fundamental Theorem for Continuous Processes
Sara Biagini, Bruno Bouchard, Constantinos Kardaras +1
We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family of possible physical measures. A robust noti…
Rising Above Chaotic Likelihoods
Hailiang Du, Leonard A. Smith
Berliner (Likelihood and Bayesian prediction for chaotic systems, J. Am. Stat. Assoc. 1991) identified a number of difficulties in using the likelihood function within the Bayesian…
Principal component analysis for second-order stationary vector time series
Jinyuan Chang, Bin Guo, Qiwei Yao
We extend the principal component analysis (PCA) to second-order stationary vector time series in the sense that we seek for a contemporaneous linear transformation for a -varia…
Estimation for Dynamic and Static Panel Probit Models with Large Individual Effects
Wei Gao, Wicher Bergsma, Qiwei Yao
For discrete panel data, the dynamic relationship between successive observations is often of interest. We consider a dynamic probit model for short panel data. A problem with esti…
Optimal prediction for positive self-similar Markov processes
Erik Baurdoux, Andreas Kyprianou, Curdin Ott
This paper addresses the question of predicting when a positive self-similar Markov process X attains its pathwise global supremum or infimum before hitting zero for the first time…
On Future Drawdowns of Lévy processes
E. J. Baurdoux, Z. Palmowski, M. R. Pistorius
For a given Lévy process and for fixed and we analyse the {\it future drawdown extremes} that ar…
Optimal double stopping of a Brownian bridge
Erik J. Baurdoux, Nan Chen, Budhi A. Surya +1
We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We s…
Duality Theory for Portfolio Optimisation under Transaction Costs
Christoph Czichowsky, Walter Schachermayer
For portfolio optimisation under proportional transaction costs, we provide a duality theory for general cadlag price processes. In this setting, we prove the existence of a dual o…
Shadow prices for continuous processes
Christoph Czichowsky, Walter Schachermayer, Junjian Yang
In a financial market with a continuous price process and proportional transaction costs we investigate the problem of utility maximization of terminal wealth. We give sufficient c…
The Bass and topological stable ranks of the Bohl algebra are infinite
Raymond Mortini, Rudolf Rupp, Amol Sasane
The Bohl algebra is the ring of linear combinations of functions , where is any nonnegative integer, and is any complex number, with pointwise oper…
Utility indifference pricing and hedging for structured contracts in energy markets
Giorgia Callegaro, Luciano Campi, Valeria Giusto +1
In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing a…
Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems
Umut Çetin, Albina Danilova
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the r…
Change of numeraire in the two-marginals martingale transport problem
Luciano Campi, Ismail Laachir, Claude Martini
In this paper we apply change of numeraire techniques to the optimal transport approach for computing model-free prices of derivatives in a two periods model. In particular, we con…
A brief history of long memory: Hurst, Mandelbrot and the road to ARFIMA
Timothy Graves, Robert B. Gramacy, Nicholas Watkins +1
Long memory plays an important role in many fields by determining the behaviour and predictability of systems; for instance, climate, hydrology, finance, networks and DNA sequencin…
Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods
Nicolo Musmeci, Tomaso Aste, Tiziana Di Matteo
We quantify the amount of information filtered by different hierarchical clustering methods on correlations between stock returns comparing it with the underlying industrial activi…
A Parametric Framework for the Comparison of Methods of Very Robust Regression
Marco Riani, Anthony C. Atkinson, Domenico Perrotta
There are several methods for obtaining very robust estimates of regression parameters that asymptotically resist 50% of outliers in the data. Differences in the behaviour of these…
Additivity, subadditivity and linearity: automatic continuity and quantifier weakening
N. H. Bingham, A. J. Ostaszewski
We study the interplay between additivity (as in the Cauchy functional equation), subadditivity and linearity. We obtain automatic continuity results in which additive or subadditi…