Conditional Density Models for Asset Pricing

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We give an extension of Le's stochastic sewing lemma. The stochastic sewing lemma proves convergence in

L_m

of Riemann type sums

\sum _{[s,t] \in \pi } A_{s,t}

for an adapted two-parameter stochastic process A, under certain conditions on the moments o ...

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A kernel method for estimating a probability density function from an independent and identically distributed sample drawn from such density is presented. Our estimator is a linear combination of kernel functions, the coefficients of which are determined b ...

This dataset complements the article "Frequency regulation with storage: On losses and profits" by Dirk Lauinger, François Vuille, and Daniel Kuhn, available at https://arxiv.org/abs/2306.02987. The dataset contains the following files: 1.

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Correct prediction of particle transport by surface waves is crucial in many practical applications such as search and rescue or salvage operations and pollution tracking and clean-up efforts. Recent results by Deike et al. (J. Fluid Mech., vol. 829, 2017, ...

We consider the problem of nonparametric estimation of the drift and diffusion coefficients of a Stochastic Differential Equation (SDE), based on n independent replicates {Xi(t) : t is an element of [0 , 1]}13 d B(t), where alpha is an element of {0 , 1} a ...

Electric vehicle charging facilities offer their capacity constrained electric charge and parking to users for a fee. As electric vehicle adoption grows, so too does the potential for excessive resource utilization. In this paper, we study how prices set b ...

Conditional Density Models for Asset Pricing

Chattez avec Graph Search

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Seebeck Coefficient of Ionic Conductors from Bayesian Regression Analysis

An extension of the stochastic sewing lemma and applications to fractional stochastic calculus

Exchange options with stochastic liquidity risk

Closed form approximation methods for portfolio valuation and risk management

Adapting Haptic Feedback for Guided Meditation

Density estimation in RKHS with application to Korobov spaces in high dimensions

Dataset for the article "Frequency regulation with storage: On losses and profits"

Discount models

Demand-based Asset Pricing: Theory, Estimation and Applications

Mortgage-backed securities

Extension, validation, and optimization of Serpent/DYN3D/ATHLET code system for SFR applications

Stochastic particle transport by deep-water irregular breaking waves

Nonparametric estimation for SDE with sparsely sampled paths: An FDA perspective

Resource aware pricing for electric vehicle charging