Search Results: 1 - 10 of 100 matches for " "
All listed articles are free for downloading (OA Articles)
Page 1 /100
Display every page Item
On honest times in financial modeling  [PDF]
Ashkan Nikeghbali,Eckhard Platen
Mathematics , 2008,
Abstract: This paper demonstrates the usefulness and importance of the concept of honest times to financial modeling. It studies a financial market with asset prices that follow jump-diffusions with negative jumps. The central building block of the market model is its growth optimal portfolio (GOP), which maximizes the growth rate of strictly positive portfolios. Primary security account prices, when expressed in units of the GOP, turn out to be nonnegative local martingales. In the proposed framework an equivalent risk neutral probability measure need not exist. Derivative prices are obtained as conditional expectations of corresponding future payoffs, with the GOP as numeraire and the real world probability as pricing measure. The time when the global maximum of a portfolio with no positive jumps, when expressed in units of the GOP, is reached, is shown to be a generic representation of an honest time. We provide a general formula for the law of such honest times and compute the conditional distributions of the global maximum of a portfolio in this framework. Moreover, we provide a stochastic integral representation for uniformly integrable martingales whose terminal values are functions of the global maximum of a portfolio. These formulae are model independent and universal. We also specialize our results to some examples where we hedge a payoff that arrives at an honest time.
On arbitrages arising from honest times  [PDF]
Claudio Fontana,Monique Jeanblanc,Shiqi Song
Quantitative Finance , 2012, DOI: 10.1007/s00780-014-0231-1
Abstract: In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits. By relying on the theory of progressive enlargement of filtrations, we explicitly show that no kind of arbitrage profit can ever be realised strictly before an honest time, while classical arbitrage opportunities can be realised exactly at an honest time as well as after an honest time. Moreover, stronger arbitrages of the first kind can only be obtained by trading as soon as an honest time occurs. We carefully study the behavior of local martingale deflators and consider no-arbitrage-type conditions weaker than NFLVR.
铜 基 催 化 剂 上 甲 醇 水 蒸 汽 重 整 制 氢Ⅰ. 催 化 剂 组 成 的 影 响  [PDF]
赵 宁,尹燕华,王新喜,牛成德
分子催化 , 2009,
Abstract: 在 H2 O / CH3 OH 摩 尔 比 为 1. 3、 液 空 速 为 1. 5 h- 1 、 反 应 温 度 为 220 ℃ 条 件 下 , 对 甲 醇 水 蒸 汽 重 整 制 氢 Cu /Zn / ( Fe, Mn, Cr) / AlO 催 化 剂 性 能 进 行 了 考 察 . 研 究 表 明 , Cr 的 加 入 可 以 显 著 提 高 甲 醇 的 转 化 率 , 降 低 出 口 气 体中 的 CO 含 量 . 与 Cu60 Zn30 Al10 催 化 剂 相 比 , Cu30 Zn15 Cr45 Al10 催 化 剂 出 口 气 体 中 CO 的 含 量 降 低 54% , 甲 醇 的 转 化 率 提 高 约 20% .
中国图象图形学报 , 2004,
Abstract: 近日,图形芯片界新生力量XGI(图诚科技)公司在京召开新闻发布会,正式向业界进军中国大陆市场。XGI(图诚科技)展示了旗下Volari V8、Volari V5、Volari V3XT、Volari V3系列产品。
On the Modeling of Honest Players in Reputation Systems
Qing Zhang,Wei Wei,Ting Yu,

计算机科学技术学报 , 2009,
Abstract: Reputation mechanisms are a key technique to trust assessment in large-scale decentralized systems. The effectiveness of reputation-based trust management fundamentally relies on the assumption that an entity's future behavior may be predicted based on its past behavior. Though many reputation-based trust schemes have been proposed, they can often be easily manipulated and exploited, since an attacker may adapt its behavior, and make the above assumption invalid. In other words, existing trust schemes are in general only effective when applied to honest players who usually act with certain consistency instead of adversaries who can behave arbitrarily. In this paper, we investigate the modeling of honest entities in decentralized systems. We build a statistical model for the transaction histories of honest players. This statistical model serves as a profiling tool to identify suspicious entities. It is combined with existing trust schemes to ensure that they are applied to entities whose transaction records are consistent with the statistical model. This approach limits the manipulation capability of adversaries, and thus can significantly improve the quality of reputation-based trust assessment.
Honest and adaptive confidence sets in Lp  [PDF]
Alexandra Carpentier
Statistics , 2013,
Abstract: We consider the problem of constructing honest and adaptive confidence sets in Lp-loss (with p>=1 and p < infinity) over sets of Sobolev-type classes, in the setting of non-parametric Gaussian regression. The objective is to adapt the diameter of the confidence sets with respect to the smoothness degree of the underlying function, while ensuring that the true function lies in the confidence interval with high probability.When p >=2, we identify two main regimes, (i) one where adaptation is possible without any restrictions on the model, and (ii) one where critical regions have to be removed. We also prove by a matching lower bound that the size of the regions that we remove can not be chosen significantly smaller. These regimes are shown to depend in a qualitative way on the index p, and a continuous transition from p = 2 to p = infinity is exhibited.
余恕诚先生的唐诗研究  [PDF]
安徽师范大学学报(人文社会科学版) , 2015,
Abstract: 余恕诚的唐诗研究紧扣时代脉搏,自觉从国家民族前进的征程上汲取营养、获得启发。他追求既大气包举,又细致深入的宏大学术气象。以宏通的视野指导论述,又从具体问题中提炼出具有普遍意义的结论。他持有坚定的作品中心意识,立足于通过对作品的深度阐发,来获得实事求是的结论。他的论著包含丰富的作品信息,充满诗意纷披的文字表述,精彩入微的文本解读。
Information-theoretic security without an honest majority  [PDF]
Anne Broadbent,Alain Tapp
Computer Science , 2007,
Abstract: We present six multiparty protocols with information-theoretic security that tolerate an arbitrary number of corrupt participants. All protocols assume pairwise authentic private channels and a broadcast channel (in a single case, we require a simultaneous broadcast channel). We give protocols for veto, vote, anonymous bit transmission, collision detection, notification and anonymous message transmission. Not assuming an honest majority, in most cases, a single corrupt participant can make the protocol abort. All protocols achieve functionality never obtained before without the use of either computational assumptions or of an honest majority.
On the characterisation of honest times that avoid all stopping times  [PDF]
Constantinos Kardaras
Mathematics , 2012,
Abstract: We present a short and self-contained proof of the following result: a random time is an honest time that avoids all stopping times if and only if it coincides with the (last) time of maximum of a nonnegative local martingale with zero terminal value and no jumps while at its running supremum, where the latter running supremum process is continuous. Illustrative examples involving local martingales with discontinuous paths are provided.
Moderating Role of the Ethic  [PDF]
Mazlum Celik,Omer Turunc,Necdet Bilgin
Journal of Applied Sciences , 2012,
Abstract: The aim of this study was to determine the effect of the employees’ performance goal orientation on the development of the innovative behaviors that have a great importance for the businesses and the moderating role of the ethic in this effect. According to the study carried out on 593 employees, it is found that the performance goal orientation affects the innovative behavior of the employees positively and significantly, that the PGO have positive effect on the ethical behavior and that the ethical behavior has no effect on the innovative behaviors of the employees.
Page 1 /100
Display every page Item

Copyright © 2008-2017 Open Access Library. All rights reserved.