Applied Probability
In this subdiscipline:
2,878 papers
Popular papers
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The fuzzy set is a powerful tool used to describe an uncertain financial environment in which not only the financial markets but also the financial managers' decisions are subject to vagueness, ambiguity or some other kind of fuzziness. Based on…
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We study optimal portfolio management policies for an investor who must pay a transaction cost equal to a fixed fraction of his portfolio value each time he trades. We focus on the infinite horizon objective function of maximizing the asymptotic…
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In this paper, optimal consumption and investment decisions are studied for an investor who has available a bank account paying a fixed rate of interest and a stock whose price is a log-normal diffusion. This problem was solved by Merton and others…
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Conventional time is modelled as the one dimensional continuum R 1 of real numbers. This continuity, however, does em not stem from em any fundamental principle. On the other hand, natural time is em not continuous and its values as well as those of…
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In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and determine…
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Over the last decade, Bayesian networks (BNs) have become a popular tool for modelling many kinds of statistical problems. We have also seen a growing interest for using BNs in the reliability analysis community. In this paper we will discuss the…
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Algorithmic trading (AT) has increased sharply over the past decade. Does it improve market quality, and should it be encouraged? We provide the first analysis of this question. The New York Stock Exchange automated quote dissemination in 2003, and…
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We investigate whether the volatility risk premium is negative by examining the statistical properties of delta-hedged option portfolios (buy the option and hedge with stock). Within a stochastic volatility framework, we demonstrate a correspondence…
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The Convolution and Master equations governing the time behavior of the term structure of Interest Rates are set up both for continuous variables and for their discretised forms. The notion of Seed is introduced. The discretised theoretical…
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The distribution of the ratio of two correlated normal random variables is discussed. The exact distribution and an approximation are compared. The comparison is illustrated numerically for the case of the normal least squares estimate of alpha/beta…
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In many criminal cases, forensically collected data contain valuable information about a suspect's social networks. An investigator often has to manually extract information from the collected text documents and enter it into a police database for…
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Locating useful information effectively form the World Wide Web (WWW) is of wide interest. This paper presents new results on a methodology of using the structures and hyperlinks of HTML documents to improve the effectiveness of retrieving HTML…
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Purpose The purpose of this research is to show that reliability analysis and its implementation will lead to an improved whole life performance of the building systems, and hence their life cycle costs (LCC). Design/methodology/approach This paper…
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Active members
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Doctoral StudentColumbia University -
Ph.D. StudentDepartamento de Engenharia Mecânica e Industrial, Faculdade de Ciências e Tecnologia, Universidade Nova de Lisboa -
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Other ProfessionalPhoenix, Arizona, United States