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Fractional Cox–Ingersoll–Ross process with non-zero «mean»

Yuliya Mishura Anton Yurchenko-Tytarenko

https://doi.org/10.15559/18-MSTA97

Pub. online: 5 Mar 2018 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications* Volume 5, Issue 1 (2018), pp. 99–111

Abstract

In this paper we define the fractional Cox–Ingersoll–Ross process as $X_{t}:={Y_{t}^{2}}\mathbf{1}_{\{t<\inf \{s>0:Y_{s}=0\}\}}$, where the process $Y=\{Y_{t},t\ge 0\}$ satisfies the SDE of the form $dY_{t}=\frac{1}{2}(\frac{k}{Y_{t}}-aY_{t})dt+\frac{\sigma }{2}d{B_{t}^{H}}$, $\{{B_{t}^{H}},t\ge 0\}$ is a fractional Brownian motion with an arbitrary Hurst parameter $H\in (0,1)$. We prove that $X_{t}$ satisfies the stochastic differential equation of the form $dX_{t}=(k-aX_{t})dt+\sigma \sqrt{X_{t}}\circ d{B_{t}^{H}}$, where the integral with respect to fractional Brownian motion is considered as the pathwise Stratonovich integral. We also show that for $k>0$, $H>1/2$ the process is strictly positive and never hits zero, so that actually $X_{t}={Y_{t}^{2}}$. Finally, we prove that in the case of $H<1/2$ the probability of not hitting zero on any fixed finite interval by the fractional Cox–Ingersoll–Ross process tends to 1 as $k\to \infty $.

Cliquet option pricing with Meixner processes

Markus Hess

https://doi.org/10.15559/18-VMSTA96

Pub. online: 12 Feb 2018 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications Volume 5, Issue 1 (2018), pp. 81–97

Abstract

We investigate the pricing of cliquet options in a geometric Meixner model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a pure-jump Meixner–Lévy process yielding Meixner distributed log-returns. In this setting, we infer semi-analytic expressions for the cliquet option price by using the probability distribution function of the driving Meixner–Lévy process and by an application of Fourier transform techniques. In an introductory section, we compile various facts on the Meixner distribution and the related class of Meixner–Lévy processes. We also propose a customized measure change preserving the Meixner distribution of any Meixner process.

Cliquet option pricing with Meixner processes

Markus Hess

https://doi.org/10.15559/18-MSTA96

Pub. online: 12 Feb 2018 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications* Volume 5, Issue 1 (2018), pp. 81–97

Abstract

On aggregation of multitype Galton–Watson branching processes with immigration

Mátyás Barczy Fanni K. Nedényi Gyula Pap

https://doi.org/10.15559/18-VMSTA95

Pub. online: 1 Feb 2018 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications Volume 5, Issue 1 (2018), pp. 53–79

Abstract

Limit behaviour of temporal and contemporaneous aggregations of independent copies of a stationary multitype Galton–Watson branching process with immigration is studied in the so-called iterated and simultaneous cases, respectively. In both cases, the limit process is a zero mean Brownian motion with the same covariance function under third order moment conditions on the branching and immigration distributions. We specialize our results for generalized integer-valued autoregressive processes and single-type Galton–Watson processes with immigration as well.

On aggregation of multitype Galton–Watson branching processes with immigration

Mátyás Barczy Fanni K. Nedényi Gyula Pap

https://doi.org/10.15559/18-MSTA95

Pub. online: 1 Feb 2018 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications* Volume 5, Issue 1 (2018), pp. 53–79

Abstract

Confidence regions in Cox proportional hazards model with measurement errors and unbounded parameter set

Oksana Chernova Alexander Kukush

https://doi.org/10.15559/18-VMSTA94

Pub. online: 31 Jan 2018 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications Volume 5, Issue 1 (2018), pp. 37–52

Abstract

Cox proportional hazards model with measurement errors is considered. In Kukush and Chernova (2017), we elaborated a simultaneous estimator of the baseline hazard rate $\lambda (\cdot )$ and the regression parameter β, with the unbounded parameter set $\varTheta =\varTheta _{\lambda }\times \varTheta _{\beta }$, where $\varTheta _{\lambda }$ is a closed convex subset of $C[0,\tau ]$ and $\varTheta _{\beta }$ is a compact set in ${\mathbb{R}}^{m}$. The estimator is consistent and asymptotically normal. In the present paper, we construct confidence intervals for integral functionals of $\lambda (\cdot )$ and a confidence region for β under restrictions on the error distribution. In particular, we handle the following cases: (a) the measurement error is bounded, (b) it is a normally distributed random vector, and (c) it has independent components which are shifted Poisson random variables.

Confidence regions in Cox proportional hazards model with measurement errors and unbounded parameter set

Oksana Chernova Alexander Kukush

https://doi.org/10.15559/18-MSTA94

Pub. online: 31 Jan 2018 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications* Volume 5, Issue 1 (2018), pp. 37–52

Abstract

A moment-distance hybrid method for estimating a mixture of two symmetric densities

David Källberg Yuri Belyaev Patrik Rydén

https://doi.org/10.15559/17-VMSTA93

Pub. online: 18 Jan 2018 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications Volume 5, Issue 1 (2018), pp. 1–36

Abstract

In clustering of high-dimensional data a variable selection is commonly applied to obtain an accurate grouping of the samples. For two-class problems this selection may be carried out by fitting a mixture distribution to each variable. We propose a hybrid method for estimating a parametric mixture of two symmetric densities. The estimator combines the method of moments with the minimum distance approach. An evaluation study including both extensive simulations and gene expression data from acute leukemia patients shows that the hybrid method outperforms a maximum-likelihood estimator in model-based clustering. The hybrid estimator is flexible and performs well also under imprecise model assumptions, suggesting that it is robust and suited for real problems.

A moment-distance hybrid method for estimating a mixture of two symmetric densities