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Strong Consistency of Least Squares Estimates in Normal Regression
Strong Consistency Least Squares Estimates Normal Regression
2015/8/5
Strong Consistency of Least Squares Estimates in Normal Regression.
Adaptive and Sophisticated Learning in Repeated Normal Form Games
Adaptive Sophisticated Learning Repeated Normal
2015/7/21
Adaptive and Sophisticated Learning in Repeated Normal Form Games.
Topologies on Information and Strategies in Normal‑Form Games with Incomplete Information
Topologies on Information Strategies in Normal Games Incomplete Information
2015/7/21
Topologies on Information and Strategies in Normal‑Form Games with Incomplete Information.
Nonanalytic behaviour in a log-normal Markov functional model
Markov functional model Nonanalytic behaviour Computational Finance
2011/7/22
Abstract: In a previous paper it was shown that a Markov-functional model with log-normally distributed rates in the terminal measure displays nonanalytic behaviour as a function of the volatility, wh...
Capital allocation for credit portfolios under normal and stressed market conditions
Capital allocation credit portfolios normal stressed market conditions
2010/10/21
If the probability of default parameters (PDs) fed as input into a credit portfolio model are estimated as through-the-cycle (TTC) PDs stressed market conditions have little impact on the results of ...
Quantile Mechanics II: Changes of Variables in Monte Carlo methods and a GPU-Optimized Normal Quantile
Monte Carlo Student hyperbolic variance gamma, computational
2010/10/29
This article presents di erential equations and solution methods for the functions of the form A(z) = F1(G(z)), where F and G are cumu-lative distribution functions. Such functions allow the...
A New Approximation to the Normal Distribution Quantile Function
Normal Distribution Quantile Function
2010/10/18
We present a new approximation to the normal distribution quantile function. It has a similar form to the approximation of Beasley and Springer [3], providing a maximum absolute error of less than $2...
The alchemy of probability distributions: beyond Gram-Charlier expansions, and a skew-kurtotic-normal distribution from a rank transmutation map
alchemy probability distributions rank transmutation map
2010/10/29
Motivated by the need for parametric families of rich and yet tractable distributions in financial mathematics, both in pricing and risk management settings, but also considering wider statistical app...
We collect well known and less known facts about the bivariate normal distribution and translate them into copula language. In addition, we prove a very general formula for the bivariate normal copula...