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pro vyhledávání: '"Martin, Richard J"'
Autor:
Martin, Richard J.
We give a new improvement over Newton's method for root-finding, when the function in question is doubly differentiable. It generally exhibits faster and more reliable convergence. It can be also be thought of as a correction to Halley's method, as t
Externí odkaz:
http://arxiv.org/abs/2312.12305
Autor:
Martin, Richard J.
We show how to derive the Black-Scholes model and its generalisation to the `exchange-option' (to exchange one asset for another) via the continuum limit of the Binomial tree. No knowledge of stochastic calculus or partial differential equations is a
Externí odkaz:
http://arxiv.org/abs/2301.09996
Autor:
Martin, Richard J.
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than attempting to f
Externí odkaz:
http://arxiv.org/abs/2201.01330
Autor:
Kausch, Sherry L., Lake, Douglas E., Di Fiore, Juliann M., Weese-Mayer, Debra E., Claure, Nelson, Ambalavanan, Namasivayam, Vesoulis, Zachary A., Fairchild, Karen D., Dennery, Phyllis A., Hibbs, Anna Maria, Martin, Richard J., Indic, Premananda, Travers, Colm P., Bancalari, Eduardo, Hamvas, Aaron, Kemp, James S., Carroll, John L., Moorman, J. Randall, Sullivan, Brynne A.
Publikováno v:
In The Journal of Pediatrics August 2024 271
An analysis is presented of a Brownian particle moving on the half-line, subject to a restoring force proportional to its displacement and an absorbing boundary at the origin. When the initial displacement is large, the central moments of the time to
Externí odkaz:
http://arxiv.org/abs/2104.03183
Autor:
Martin, Richard J.
We give a complete description of the third-moment (skewness) characteristics of both linear and nonlinear momentum trading strategies, the latter being understood as transformations of a normalised moving-average filter (EMA). We explain in detail w
Externí odkaz:
http://arxiv.org/abs/2101.01006
Autor:
Manka, Laurie A. *, Guntur, Vamsi P. *, Stevens, Allen D. *, Kolakowski, Christena *, Moore, Camille M., Martin, Richard J. *
Publikováno v:
In Annals of Allergy, Asthma & Immunology October 2024
Publikováno v:
J. Phys. A: Math. Theor., 54, 055002, 2021
We consider the area functional defined by the integral of an Ornstein-Uhlenbeck process which starts from a given value and ends at the time it first reaches zero (its equilibrium level). Exact results are presented for the mean, variance, skewness
Externí odkaz:
http://arxiv.org/abs/2007.13129
Autor:
Martin, Richard J.
Markovian credit migration models are a reasonably standard tool nowadays, but there are fundamental difficulties with calibrating them. We show how these are resolved using a simplified form of matrix generator and explain why risk-neutral calibrati
Externí odkaz:
http://arxiv.org/abs/2006.11146
Autor:
Martin, Richard J., Birchall, Aldous
We address the modelling of commodities that are supposed to have positive price but, on account of a possible failure in the physical delivery mechanism, may turn out not to. This is done by explicitly incorporating a `delivery liability' option int
Externí odkaz:
http://arxiv.org/abs/2006.06076