Titlebook: Recent Advances in Applied Probability; Ricardo Baeza-Yates,Joseph Glaz,José Luis Palacios Book 2005 Springer-Verlag US 2005 STATISTICA.Ti

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Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation,n price. This article surveys research activity relating to three theoretical questions: First, does implied volatility admit a probabilistic interpretation? Second, how does implied volatility behave as a function of strike and expiry? Here one seeks to characterize the shapes of the implied volati

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On the Increments of the Brownian Sheet,. For . fixed we prove that . almost surely, where . is the Lebesgue measure in ., . is the standard Gaussian distribution and . is the usual norm in .([? .], .). These results are generalized to two parameter martingales . given by stochastic integrals of the Cairoli & Walsh type. Finally, as a con

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,The Arov-Grossman Model and Burg’s Entropy,esses to obtain from an Operator Theory point of view: Levinson’s algorithm, Schur’s recursions and the Christoffel-Darboux formula. We deal with a functional model due to Arov and Grossman, which provides a complete description of all minimal unitary extensions of an isometry by the Schur class, in

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Optimal Stopping Problems for Time-Homogeneous Diffusions: A Review,lts displayed are stated in a little greater generality, but in such a way that they are neither too restrictive nor too complicated. The second part presents equations for the value function and the optimal stopping boundary as a free-boundary (Stefan) problem and further presents the principle of

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Criticality in Epidemics: The Mathematics of Sandpiles Explains Uncertainty in Epidemic Outbreaks,we found that an epidemiological system evolves on its own towards criticality, hence self-organizes itself towards the critical state. For spatial systems we have presented the basic description of the master equation and have shown the connection with the previous sections under the explicit analy