We consider an optimal stopping problem in a certain model described by a stochastic delay differential equation. We reduce the initial problem to a free-boundary problem of parabolic type and prove the corresponding ...

The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sense asymptotically ...

A Lévy process is observed at time points of distance Δ until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and Δ. Thereby, ...

Sei (X(t), t>= -r) ein stationärer stochastischer Prozess, der die affine stochastische Differentialgleichung mit Gedächtnis dX(t)=L(X(t+s))dt+sigma dW(t), t>= 0, löst, wobei sigma>0, (W(t), t>=0) eine Standard-Brownsche ...

We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the ...

A nonparametric procedure for quantile regression, or more generally nonparametric M-estimation, is proposed which is completely data-driven and adapts locally to the regularity of the regression function. This is achieved ...

The calibration of financial models has become rather important topic in recent years mainly because of the need to price increasingly complex options in a consistent way. The choice of the underlying model is crucial for ...

We introduce an easy way of analyzing the transitional dynamics of the Uzawa-Lucas endogenous growth model. We use the value function approach to solve both the social planner’s optimization problem and the representative ...