Displaying similar documents to “Survival of homogeneous fragmentation processes with killing”

Adaptive Deterministic Dyadic Grids on Spaces of Homogeneous Type

Richard Lechner, Markus Passenbrunner (2014)

Bulletin of the Polish Academy of Sciences. Mathematics

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In the context of spaces of homogeneous type, we develop a method to deterministically construct dyadic grids, specifically adapted to a given combinatorial situation. This method is used to estimate vector-valued operators rearranging martingale difference sequences such as the Haar system.

Exponential martingales and CIR model

Wojciech Szatzschneider (2008)

Banach Center Publications

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With the use of exponential martingales and the Girsanov theorem we show how to calculate bond prices in a large variety of square root processes. We clarify and correct several errors that abound in financial literature concerning these processes. The most important topics are linear risk premia, the Longstaff double square model, and calculations concerning correlated CIR processes.