HKUST Institutional Repository
(5.016 recursos)
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Mostrando recursos 1 - 20 de 79
1.
Optimal shouting policies of options with strike reset right - Dai, Min; Kwok, Yue Kuen; Wu, Lixin
The reset right embedded in an option contract is defined to be the privilege given to the option holder to reset certain terms in the contract according to specified rules at the moment of shouting, where the time to shout is chosen optimally by the holder. For example, a shout option with strike reset right entitles its holder to choose the time to take ownership of an at-the-money option. This paper develops the theoretical framework of analyzing the optimal shouting policies to be adopted by the holder of an option with reset right on the strike price. It is observed...
2.
Pricing algorithms for options with exotic path-dependence - Kwok, Yue Kuen; Lau, Ka Wo
Pricing algorithms for options with exotic path-dependence using the forward shooting grid approach are characterized by the augmentation of an auxiliary state vector at each grid node on a lattice tree that simulates the discrete asset price process. The state vector is used to capture the specific path-dependent feature of the option contract.
We demonstrate the versatility of the forward shooting grid algorithms by generalizing the approach to price various types of Parisian options, options with reset features, and alpha quantile options. The convergence behaviors of the numerical results obtained by the forward shooting grid algorithms are also examined.
The advantage of...
3.
Some similarity states of stably-stratified homogeneous turbulence - Chasnov, Jeffrey R.
The decay of statistically homogeneous velocity and density fluctuations in a stably-stratified fluid is considered. Over decay times long compared to the turbulence timescale but short compared to the period of internal gravity waves, three distinct high Reynolds number similarity states may develop. These similarity states are a consequence of the invariance of the low wavenumber coefficients of the three-dimensional kinetic or potential energy spectrum; and their preferential development depends on the relative magnitudes of the initial kinetic and potential energy per unit mass of the fluid. When the turbulence has decayed over a time comparable to the period of...
4.
Pansystems optimization, generalized principles of optimality, and fundamental equations of dynamic programming - Chen, Bei-fang
Clarifies the relationship between the Bellman principle of optimality and the recursive functional equation of dynamic programming by optimum operators of pansystems methodology. Instead of the Bellman principle of optimality, two generalized principles of optimality are proposed by which a necessary and sufficient condition for the fundamental equation is obtained. A discrete generalized dynamic programming model is set up in detail. Some discrete optimization problems which cannot be treated by ordinary dynamic programming may be solved by the generalized model with the construction of appropriate optimum operators.
5.
On the decay of inhomogeneous turbulence - Chasnov, Jeffrey R.
The decay of high-Reynolds-number inhomogeneous turbulence in an unbounded domain is considered. The turbulence may be initially localized in one to three spatial directions and the fluid is assumed to be at rest at infinity in those directions. Previous arguments used to determine the decay laws of homogeneous turbulence are extended to the decay of inhomogeneous turbulence by integrating the turbulence statistics over the inhomogeneous directions. Dimensional arguments based on the invariance or near-invariance of low-wavenumber spectral coefficients associated with the integrated mean-square velocity are used to determine asymptotic decay laws for inhomogeneous turbulence. These decay laws depend on the...
6.
Asymptotic inference for unit root processes with garch(1,1) errors - Ling, Shi-Qing; Li, W. K.
This paper investigates the so-called one-step local quasimaximum likelihood estimator for the unit root process with GARCH(1,1) errors. When the scaled conditional errors (the ratio of the disturbance to the conditional standard deviation) follow a symmetric distribution, the asymptotic distribution of the estimated unit root is derived only under the second-order moment condition. It is shown that this distribution is a functional of a bivariate Brownian motion as in Ling and Li (1998, Annals of Statistics 26, 84125) and can be used to construct the unit root test.
7.
Asymptotic inference for nonstationary fractionally integrated autoregressive moving-average models - Ling, Shi-Qing; Li, W. K.
This paper considers nonstationary fractional autoregressive integrated moving-average (p,d,q) models with the fractionally differencing parameter d ?(-1/2,1/2) and the autoregression function with roots on or outside the unit circle. Asymptotic inference is based on the conditional sum of squares (CSS) estimation. Under some suitable conditions, it is shown that CSS estimators exist and are consistent. The asymptotic distributions of CSS estimators are expressed as functions of stochastic integrals of usual Brownian motions. Unlike results available in the literature, the limiting distributions of various unit roots are independent of the parameter d over the entire range d ?(-1/2,1/2). This allows the...
8.
Chemically induced grain boundary dynamics, forced motion by curvature, and the appearance of double seams - Fife, Paul C.; Wang, Xiao-Ping
The free boundary model of diffusion-induced grain boundary motion derived in Cahn et al. [3], Fife et al. [6] and Cahn & Penrose [4] is extended, in the case of thin metallic films, to account for bidirectional motion, together with the appearance of S-shapes and double seam configurations. These are often observed in the laboratory. Computer simulations based on the extended model are given to illustrate these and other features of bidirectional motion. More generally, the extension accounts for the motion of grain boundaries whose traces on the film's surface are curved. The new free boundary model is one of...
9.
Singularity analysis for integrable systems by their mirrors - Hu, Ji-Shan; Yan, Min
We use the Lorenz system, the Rikitake model and the nonlinear Schrödinger to demonstrate that for completely integrable systems, there exist what we call regular systems near movable singularities. The method for finding the mirror systems is very similar to the original Weiss et als (1983 J. Math. Phys. 24 5226) version of the Painlevé test. It tests complete integrability and gives a systematic and conceptual proof that the formal Laurent generated by the Painlevé test are convergent.
10.
A path integral derivation of ?y-genus - Meng, Guo-Wu
The formula for the Hirzebruch ?y-genus of complex manifolds is a consequence of the HirzebruchRiemannRoch formula. The classical index formulae for Todd genus, Euler number and signature correspond to the case when the complex variable y = 0,?1 and 1 respectively. Here we give a direct derivation of this nice formula based on supersymmetric quantum mechanics.
11.
Geometric construction of the quantum Hall effect in all even dimension - Meng, Guo-Wu
The quantum Hall effects in all even dimensions are uniformly constructed. Contrary to some recent accounts in the literature, the existence of quantum Hall effects (QHE) does not crucially depend on the existence of division algebras. For QHE on flat space of even dimensions, both the Hamiltonians and the ground-state wavefunctions for a single particle are explicitly described. This explicit description immediately tells us that QHE on a higher even-dimensional flat space shares common features such as incompressibility with QHE on a plane.
12.
Another integrable case in the Lorenz model - Yee, Tat-Leung; Conte, Robert
A scaling invariance in the Lorenz model allows one to consider the usually discarded case ? = 0. We integrate it with the third Painlevé function.
13.
Necessary and sufficient moment conditions for the GARCH(r,s) and asymmetric power GARCH(r,s) models - Ling, Shi-Qing; McAleer, Michael
Although econometricians have been using Bollerslev's (1986, Journal of Econometrics 31, 307-327) GARCH(r, s) model for over a decade, the higher order moment structure of the model remains unresolved. The sufficient condition for the existence of the higher order moments of the GARCH(r, s) model was given by Ling (1999a, Journal of Applied Probability 36, 688-705). This paper shows that Lings condition is also necessary. As an extension, the necessary and sufficient moment conditions are established for Ding, Granger, and Engles (1993, Journal of Empirical Finance, 1, 83-106) asymmetric power GARCH(r, s) model.
14.
Asymptotic theory for a new vector ARMA-GARCH model - Ling, Shi-Qing; McAleer, Michael
This paper investigates the asymptotic theory for a vector autoregressive moving averagegeneralized autoregressive conditional heteroskedasticity (ARMA-GARCH) model. The conditions for the strict stationarity, the ergodicity, and the higher order moments of the model are established. Consistency of the quasimaximum-likelihood estimator (QMLE) is proved under only the second-order moment condition. This consistency result is new, even for the univariate autoregressive conditional heteroskedasticity (ARCH) and GARCH models. Moreover, the asymptotic normality of the QMLE for the vector ARCH model is obtained under only the second-order moment of the unconditional errors and the finite fourth-order moment of the conditional errors. Under additional moment...
15.
On adaptive estimation in nonstationary ARMA models with GARCH errors - Ling, Shi-Qing; McAleer, Michael
This paper considers adaptive estimation in nonstationary autoregressive moving average models with the noise sequence satisfying a generalized autoregressive conditional heteroscedastic process. The locally asymptotic quadratic form of the log-likelihood ratio for the model is obtained. It is shown that the limit experiment is neither LAN nor LAMN, but is instead LABF. For the model with symmetric density of the rescaled error, a new efficiency criterion is established for a class of defined Mv-estimators. It is shown that such efficient estimators can be constructed when the density is known. Using the kernel estimator for the score function, adaptive estimators are...
18.
Further results on fixpoints and zeros of entire functions - Zheng, Jian-Hua; Yang, Chung-Chun
First published in Transactions of the American Mathematical Society in Vol. 347, No. 1. (Jan., 1995), published by the American Mathematical Society
19.
On the unique range set of meromorphic functions - Li, Ping; Yang, Chung-Chun
First published in Proc. Amer. Math. Soc. in v. 124, no. 1 (1996), published by the American Mathematical Society.
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