Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 136 for “"Asymptotics"”.
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Discrete Small Sample Asymptotics
Random variables defined on the natural numbers may often be approximated by Poisson variables. Just as normal approximations may be improved by saddlepoint methods, Poisson approximations may be substantially improved by tilting, expansion, and other related methods. This work will develop and …
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Asymptotics of wavelets and filters
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Mathematics, 1998.
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Implied volatility: general properties and asymptotics
… classical results of Varadhan. In obtaining the asymptotics for local volatility models, we use a representation of the European call as an integral over time to expiry. We devote an entire chapter to representations of the European call option; a key role is played by local time and the argument …
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Asymptotics of the Rough Heston Model
The recent explosion of work on rough volatility and fractional Brownian motion has led to the development of a new generation of stochastic volatility models. Such models are able to capture a wide range of stylised facts that classical models simply do not. While these models have sound …
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Multiagent planning with Bayesian nonparametric asymptotics
Autonomous multiagent systems are beginning to see use in complex, changing environments that cannot be completely specified a priori. In order to be adaptive to these environments and avoid the fragility associated with making too many a priori assumptions, autonomous systems must incorporate some …
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Spectral asymptotics for coupled Dirac operators
In this thesis, we study the problem of asymptotic spectral flow for a family of coupled Dirac operators. We prove that the leading order term in the spectral flow on an n dimensional manifold is of order r n+1/2 followed by a remainder of O(r n/2). We perform computations of spectral flow on the …
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DIMTEST Enhancements and Some Parametric IRT Asymptotics
The joint consistency of item and ability parameter estimation remains a challenging problem in IRT parametric modeling. Although many simulation studies have been conducted on the item and ability parameter estimates obtained by joint maximum likelihood estimation which is implemented in LOGIST …
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Large scale queueing systems : asymptotics and insights
Parallel server queues are a family of stochastic models useful in a variety of applications, including service systems and telecommunication networks. A particular application that has received considerable attention in recent years is the analysis of call centers. A feature common to these models …
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Scaling and intermediate asymptotics for singular physical problems
Submission published under a 24 month embargo labeled 'Closed Access', the embargo will last until 2026-12-01
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Random tilings : gap probabilities, local and global asymptotics
… in collaboration with Alexey Bufetov we consider asymptotics of a domino tiling model on a class of domains which we call rectangular Aztec diamonds. We prove the Law of Large Numbers for the corresponding height functions and provide explicit formulas for the limit. For a special class of …
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Tail Asymptotics for the Limiting Distribution of Theta Sums
… of \alpha and \beta. We then prove optimal tail asymptotics for the limiting distribution. More specifically, we prove that, according to the limiting distribution, the probability of landing outside a ball of sufficiently large radius $R$ for an explicit set of rational pairs (\alpha, \beta) is …
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Asymptotics and numerics in rough and local stochastic volatility models
In this dissertation, we investigate various questions arising from the modelling of asset prices. All these models have in common, that they permit the use of rough volatility processes, meaning that the fluctuations of stock prices are modelled via a very irregular process. Besides this …
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Tail estimation of the spectral density under fixed-domain asymptotics
… are usually considered: increasing domain asymptotics and fixed-domain asymptotics (or infill asymptotics).For increasing domain asymptotics, sampled data increase with the increasing spatial domain, while under infill asymptotics, data are observed on a fixed region with the distance …
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Partition asymptotics; zeros of zeta functions; and Apéry-like numbers
PART I G. H. Hardy and S. Ramanujan established an asymptotic formula for the number of unrestricted partitions of a positive integer, and claimed a similar asymptotic formula for the number of partitions into perfect kth powers, which was later proved by E. M. Wright. Recently, R. C. Vaughan …
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Analysis in Fractional Calculus and Asymptotics Related to Zeta Functions
… below modifies some of these techniques to prove asymptotics to all orders for the Hurwitz zeta function. Many new ideas are required, but the end result is more elegant than the original one for Riemann zeta, because some of the new methodologies enable different parts of the argument to be …
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Extreme-Strike and Small-time Asymptotics for Gaussian Stochastic Volatility Models
… of a general second-chaos variable, we derive asymptotics for the asset price density for large or small values of the variable, and study the wing behavior of the implied volatility in these models. Our main result provides explicit expressions for the first five terms in the expansion of the …
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Stochastic Volatility Models: Option Price Approximation, Asymptotics and Maximum Likelihood Estimation
The second part of this thesis describes an approach that uses the above asymptotic expansion to invert, the option pricing function and extract the latent volatility, thereby overcoming one of the key difficulties in the estimation problem. The method is applied to estimate three popular …
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Higher canonical asymptotics of Kähler-Einstein metrics on quasi-projective manifolds
… geometry are introduced to characterize the asymptotics. We first develop the analysis of the Monge-Ampere operators on these weighted spaces. We construct a family of linear elliptic operators which can be viewed as certain conjugacies of the specially linearized Monge-Ampbre operators. We …
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Asymptotics, exact results, and analogies in p-adic random matrix theory
This thesis is a compilation of exact results regarding p-adic random matrices and Hall-Littlewood polynomials, and asymptotic results proven using these tools. Many of the results of both types are motivated and guided by analogies to existing results in classical random matrix theory over R, C or …
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Secondary Terms in Asymptotics for the Number of Zeros of Quadratic Forms
… 3$ and dim$V = 4$, Heath-Brown also gave similar asymptotics. More recently, Getz gave an asymptotic of the form: $c_1 B^{n-2} + c_2 B^{n/2} + O_{J,\epsilon}(B^{n/2+\epsilon-1})$ when $n$ is even, in which $c_2 \in \mathbb{C}$ has a pleasant geometric interpretation. We consider the case where $n$ …
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