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3,385
The Finite Moment Log Stable Process and Option Pricing
, 2002
"... We document a surprising pattern in market prices of S&P 500 index options. When implied volatilities are graphed against a standard measure of moneyness, the implied volatility smirk does not flatten out as maturity increases up to the observable horizon of two years. This behavior contrasts sh ..."
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Cited by 116 (13 self)
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We document a surprising pattern in market prices of S&P 500 index options. When implied volatilities are graphed against a standard measure of moneyness, the implied volatility smirk does not flatten out as maturity increases up to the observable horizon of two years. This behavior contrasts sharply with the implications of many pricing models and with the asymptotic behavior implied by the central limit theorem (CLT). We develop a parsimonious model which deliberately violates the CLT assumptions and thus captures the observed behavior of the volatility smirk over the maturity horizon. Calibration exercises demonstrate its superior performance against several widely used alternatives.
Global Optimization with Polynomials and the Problem of Moments
 SIAM JOURNAL ON OPTIMIZATION
, 2001
"... We consider the problem of finding the unconstrained global minimum of a realvalued polynomial p(x) : R R, as well as the global minimum of p(x), in a compact set K defined by polynomial inequalities. It is shown that this problem reduces to solving an (often finite) sequence of convex linear ma ..."
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Cited by 577 (48 self)
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We consider the problem of finding the unconstrained global minimum of a realvalued polynomial p(x) : R R, as well as the global minimum of p(x), in a compact set K defined by polynomial inequalities. It is shown that this problem reduces to solving an (often finite) sequence of convex linear
A CONCENTRATED CAUCHY DISTRIBUTION WITH FINITE MOMENTS
"... Abstract. The Cauchy distribution C(a, b)(x) = 1 with a, b real, b > 0, has no moments (expected value, variance, etc.), because the defining integrals diverge. An obvious way to "concentrate" the Cauchy distribution, in order to get finite moments, is by truncation, restricting it to ..."
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Abstract. The Cauchy distribution C(a, b)(x) = 1 with a, b real, b > 0, has no moments (expected value, variance, etc.), because the defining integrals diverge. An obvious way to "concentrate" the Cauchy distribution, in order to get finite moments, is by truncation, restricting
1 ASSURING FINITE MOMENTS FOR WILLINGNESS TO PAY IN RANDOM COEFFICIENT MODELS
"... Random coefficient models such as mixed logit are increasingly being used to allow for random heterogeneity in willingness to pay (WTP) measures. In the most commonly used specifications, the distribution of WTP for an attribute is derived from the distribution of the ratio of individual coefficient ..."
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the distribution of WTP has finite moments. Using this criterion, we show that some popular distributions used for the cost coefficient in random coefficient models, including normal, truncated normal, uniform and triangular, imply infinite moments for the distribution of WTP, even if truncated or bounded at zero
A NOTE ON THE BOOTSTRAP METHOD FOR TESTING THE EXISTENCE OF FINITE MOMENTS.
"... Assumptions that a finite moment of the first, second, fourth or another order exists appear in many theorems in econometrics and statistics. And so it is worthwhile to check if these assumptions are satisfied. One recent method was proposed by Fedotenkov (2013), who suggests applying bootstrap to ..."
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Assumptions that a finite moment of the first, second, fourth or another order exists appear in many theorems in econometrics and statistics. And so it is worthwhile to check if these assumptions are satisfied. One recent method was proposed by Fedotenkov (2013), who suggests applying bootstrap
Finite moment problems in multiphase WKB computations of Schrodinger's
"... equation semiclassical limit ..."
RATES OF APPROXIMATION IN THE MULTIDIMENSIONAL INVARIANCE PRINCIPLE FOR SUMS OF I.I.D. RANDOM VECTORS WITH FINITE MOMENTS
"... Abstract. The aim of this paper is to derive some consequences of a result of Götze and Zaitsev [5]. We shall show that the i.i.d. case of this result implies a multidimensional version of some results of Sakhanenko [12]. We establish bounds for the rate of strong Gaussian approximation of sums of ..."
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of i.i.d. Rdvalued random vectors ξj having finite moments E ‖ξj‖ γ, γ> 2. 1.
Sink or swim together: necessary and sufficient conditions for finite moments of workload components in FIFO multiserver queues, Queueing Systems 67
, 2011
"... Previously established necessary and sufficient conditions for finite stationary moments in stable FIFO GI/GI/s queues exist only for the first component of the workload vector, the delay. In this paper, we derive moment results for all the components of the stationary workload vector in stable FIFO ..."
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Cited by 2 (0 self)
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Previously established necessary and sufficient conditions for finite stationary moments in stable FIFO GI/GI/s queues exist only for the first component of the workload vector, the delay. In this paper, we derive moment results for all the components of the stationary workload vector in stable
On the Cauchy problem for the Korteweg–de Vries equation with steplike finitegap initial data II. Perturbations WITH FINITE MOMENTS
, 2009
"... We solve the Cauchy problem for the Korteweg–de Vries equation with steplike finitegap initial conditions under the assumption that the perturbations have a given number of derivatives and moments finite. ..."
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Cited by 20 (13 self)
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We solve the Cauchy problem for the Korteweg–de Vries equation with steplike finitegap initial conditions under the assumption that the perturbations have a given number of derivatives and moments finite.
STATISTICAL MECHANICAL SYSTEMS ON COMPLETE GRAPHS, INFINITE EXCHANGEABILITY, FINITE EXTENSIONS AND A DISCRETE FINITE MOMENT PROBLEM
, 2007
"... We show that a large collection of statistical mechanical systems with quadratically represented Hamiltonians on the complete graph can be extended to infinite exchangeable processes. This extends a known result for the ferromagnetic Curie–Weiss Ising model and includes as well all ferromagnetic Cur ..."
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Cited by 3 (0 self)
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detail the Curie–Weiss Ising model with an additional 3body interaction. Finally, we study the question of how much the antiferromagnetic Curie–Weiss Ising model can be extended. In this direction, we obtain sharp asymptotic results via a solution to a new moment problem. We also obtain a “formula
Results 1  10
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3,385