Number variance for hierarchical random walks and related fluctuations     hierarchical random walks  related fluctuations       font style='font-size:12px;'> 2010/11/24

We study an infinite system of independent symmetric random walks on a hierarchical group, in particular, the c-random walks. Such walks are used, e.g., in population genetics. The number variance pr...

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Martingale representation for Poisson processes with applications to minimal variance hedging     Poisson process  martingalerep resentation  Clark-Ocone formula  derivative operator  Kunita-Watanabe decomposition  Malliavin calculus  independent random measure  minimal variance hedge       font style='font-size:12px;'> 2010/4/27

We consider a Poisson process $\eta$ on a measurable space $(\BY,\mathcal{Y})$ equipped with a partial ordering, assumed to be strict almost everwhwere with respect to the intensity measure $\lambda$ ...

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Arbitrage Bounds for Weighted Variance Swap Prices     Arbitrage Bounds  Weighted Variance Swap Prices       font style='font-size:12px;'> 2010/4/27

Consider a frictionless market trading a finite number of co-maturing European call and put options written on a risky asset plus an instrument with path-dependent payoff known as a weighted variance ...

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