We provide an algebraic approach to the solution of the Stein-Stein model for stochastic volatility which arises in the determination of the Radon-Nikodym density of the minimal entropy of the martingale measure. We extend ...

Θεωρούμε το πρόβλημα εκτίμησης και σύγκρισης πολλών φασματικών συναρτήσεων πυκνοτήτων πιθανότητας, εστω G. Υποθέτουμε ότι οι G-1 από αυτές συνδέονται με την τελευταία μέσω ενός κατάλληλου ημιπαραμετρικού εκθετικού μοντέλου. ...

This paper discusses the use of stochastic differential equations to model signal envelope variations over large areas, which are subject to long-term fading effects from the transmitter to local areas, followed by short-term ...

The asymptotic theory for the sample mean of a marked point process in d dimensions is established, allowing for the possibility that the underlying Poisson point process is inhomogeneous. A novel local block bootstrap ...

Nonlinear stochastic differential equations are used to model a version of the changepoint problem. State estimates of the minimum mean-square-error-type are used in likelihood-ratio tests to detect the time of change. ...

Η παρούσα διδακτορική διατριβή μελετά τη διαδικασία της εκτίμησης κατάστασης (state estimation) σε πολύπλοκα διασυνδεδεμένα συστήματα, τα οποία μοντελοποιούνται σαν συστήματα διακριτών γεγονότων (discrete event systems) ή ...

We present a numerical method to price bonds that have multiple embedded options with an emphasis on the case with both long call and short put options. The valuation framework is a one-factor model for the term structure ...