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 27 for “"characteristic functions"”.
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Inverting multivariate analytic characteristic functions with financial applications
… dissertation is devoted to multivariate analytic characteristic functions inversion and applications in option pricing, option sensitivities estimation, and some electronic engineering problems. We will show that under certain analytic conditions for characteristic functions, the underlying pdfs …
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Statistical inference based on characteristic functions for intractable likelihood problems
… is devoted to statistical inference based on characteristic functions. For some popular stochastic processes (e.g., Lévy processes, Lévy driven Ornstein-Uhlenbeck processes), the transition density may not be available. However, the (conditional) characteristic function is sometimes known. We …
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Characteristic function pricing with the Heston-LIBOR hybrid model
We derive an approximate characteristic function for a simplified version of the Heston-LIBOR model, which assumes a constant instantaneous volatility structure in the underlying LIBOR market model. We also implement measures to improve the numerical stability of the characteristic function derived …
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Subspaces of Dual-Less Spaces
… in measure. In particular, we study sequences of characteristic functions. We also consider basic and semi-basic sequences in F-spaces; the space of all sequences with the topology of componentwise convergence and its presence in a subspace of $L\sb0$. A property of the Banach sublattices of …
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NONPARAMETRIC IDENTIFICATION AND ESTIMATION OF STOCHASTIC FRONTIER MODELS
… Lemma and moments derived from conditional characteristic functions.</p>
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The distribution of the complex rectangular co-ordinates and its applications
… the complex Hishart distribution with the aid of characteristic functions and Fourier transforms. From this the distribution of the complex rectangular co-ordinates were derived as an application of the complex Hishart distribution. In the present paper we give a direct and simplified method of …
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Highly efficient pricing of exotic derivatives under mean-reversion, jumps and stochastic volatility
… the Fourier domain instead, since the associated characteristic functions are more readily available. This thesis is concerned primarily with the efficient and accurate pricing of exotic derivatives under the aforementioned framework. We address the research opportunity by exploring the valuation …
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Miery závislosti pre náhodné veličiny s nekonečnými rozptylmi
… tails. The introduction summarizes the theory of characteristic functions and stable distributions, which is necessary for the main objective of this work-namely, the presen- tation of alternative measures of dependence applicable to this class of distributions. At the theoretical level, the focus …
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Nonparametric testing for random effects in mixed effects models based on the piecewise linear interpolate of the log characteristic function
… on the piecewise linear interpolate of the log characteristic function along the grid when the number of replications is low. The ideas behind this approach were presented first by Meintanis and Portnoy (2011). The best initial grid and grid length were found, and empirical powers from the …
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Simulation and analysis of a time hopping spread spectrum communication system
… the performance. A numerical analysis which uses characteristic functions is developed and shown to correctly predict the system’s performance under a wide range of situations. This numerical analysis also contributes to the understanding of the system.
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A study of steganography and steganalysis
… which are based on statistical moments of characteristic functions of wavelet subbands for the test images and prediction error images.
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Improving the Stability of the Recovery of Algebraic Curves via Bernstein Basis Polynomials and Neural Networks
… measurements. The images that we consider are characteristic functions of algebraic shapes, that is, interiors of zero sets of bivariate polynomials, and we assume that we only know a finite set of samples of these images. A solution to this problem can be formulated in terms of a system of …
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Uniform Distribution, Behrend Sequences, and Some Spaces of Arithmetic Functions
… focuses on a transform of arithmetic functions designed so that a density test set can be defined in terms of the action of the transform on characteristic functions. The domain of the transform is the set of functions that possess Ramanujan expansions. We establish several results on …
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Some Aspects on Data Modelling
… point estimator is proposed based on empirical characteristic functions. Its consistency is also established.
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A Molecular Characterization of Human General Transcription Factor IID
… transcription and are responsible for TFIID's characteristic DNA interactions around the initiation region. A variety of biochemical approaches are discussed leading to the identification of more than a dozen class II TBP-associated factors (TAFs) that as a whole make up the TFIID complex and …
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An Investigation into the Analysis of Truncated Standard Normal Distributions Using Heuristic Techniques
… dissertation utilizes unique properties of a characteristic function to analyze truncated assemblies. Billingsley (1995) suggests that an inversion equation aids in converting the characteristic functions for a given truncated standard normal distribution to its corresponding probability …
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Stability and vibration characteristics of skew plates
… The deflection, stability, and vibration characteristics of rectangular plates have received considerable treatment in the literature. Solutions to the bending of rectangular plates with various boundary conditions, and under different types of loadings are available in S. P. Timoshenko …
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Fourier pricing of two-asset options: a comparison of methods
… determined by testing for increasingly complex characteristic functions. Overall the COS method can be seen to be preferable from a practical point of view due to its higher level of robustness.
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Asymptotic distribution of eigenvalues of random matrices and characterization of the Gaussian distribution by rotational invariance
… is achieved by solving a functional equation in characteristic functions. This seems to have been first proved in this context by Porter and Rosenzweig (Ann. Acad. Sci. Fennicae. AVI, No. 44, 1960) by a different method and under more restrictive conditions than those given here. The second …
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Studies on rationally designed, allosteric, coagulation inhibitors
… rare sequences have been identified to modulate characteristic functions in proteins. Our search led us to a biosynthetically rare GAG residue 2-O-sulfated glucuronic acid (GlcAp2S). Our computational studies indicated elements of selective recognition with coagulation enzymes propelling us …
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