Empirical correlations of asset returns in a group of stocks are approximated by the exponential correlation model that populates a Toeplitz matrix with closed-form expressions for its eigenvalues and ...

A mathematical model utilizing the geometric distribution for analyzing time-to-response data is described. This model takes into account concomitant information by means of a multivariate logistic ...

We demonstrate that a double exponential jump diffusion model can lead to an analytic approximation for finite-horizon American options (by extending the Barone-Adesi and Whaley method) and analytical ...

Third, we can use the exponential random graph model to study more complicated network configuration corresponding to, for example, more than two firms. Given the importance of accommodating more and ...

This paper presents a simple numerical approach to compute accurately the values and optimal exercise boundaries for American options when the underlying process is a double exponential jump-diffusion ...

For example, the disequilibrium model of Fig. 1 b (evolving partitioning) requires an exponential accretion with τa = 49.7 Myr and k = 0.42 as opposed to τa = 40.3 Myr and k = 0.40 of Fig. 4 b ...