3 papers
stat.ME2024
A Bayesian Method for Adverse Effects Estimation in Observational Studies with Truncation by Death
Anthony Sisti, Andrew Zullo, Roee Gutman
Death among subjects is common in observational studies evaluating the causal effects of interventions among geriatric or severely ill patients. High mortality rates complicate the…
math.PR2018
Lyapunov exponent and variance in the CLT for products of random matrices related to random Fibonacci sequences
Rajeshwari Majumdar, Phanuel Mariano, Hugo Panzo +2
We consider three matrix models of order 2 with one random entry and the other three entries being deterministic. In the first model, we let $ε\sim\textrm{Bernoulli}\left(\frac…
q-fin.GN2018
A derivation of the Black-Scholes option pricing model using a central limit theorem argument
Rajeshwari Majumdar, Phanuel Mariano, Lowen Peng +1
The Black-Scholes model (sometimes known as the Black-Scholes-Merton model) gives a theoretical estimate for the price of European options. The price evolution under this model is…