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Asset Pricing in Discrete Time: A Complete Markets Approach

Ser-Huang Poon and Richard Stapleton

Published in print:
2005
Published Online:
July 2005
ISBN:
9780199271443
eISBN:
9780191602559
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0199271445.001.0001
Subject:
Economics and Finance, Financial Economics

Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It is primarily ... More


Portfolio Dynamics

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0006
Subject:
Economics and Finance, Financial Economics

This chapter derives the dynamics of (the value of) a so-called self-financing portfolio; the price dynamics of various assets (e.g. stocks, bonds, financial derivatives) is considered as a given. A ... More


The Discrete-Time Models

Guo Shenyang

in Survival Analysis

Published in print:
2009
Published Online:
January 2010
ISBN:
9780195337518
eISBN:
9780199864256
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195337518.003.0003
Subject:
Social Work, Research and Evaluation

This chapter reviews the first type of multivariate model analyzing time-to-event data: the discrete-time models. The primary feature of this type of model is its approximation of hazard rate by ... More


Extending the Discrete-Time Hazard Model

Judith D. Singer and John B. Willett

in Applied Longitudinal Data Analysis: Modeling Change and Event Occurrence

Published in print:
2003
Published Online:
September 2009
ISBN:
9780195152968
eISBN:
9780199864980
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195152968.003.0012
Subject:
Public Health and Epidemiology, Public Health, Epidemiology

The basic discrete-time hazard model invokes assumptions about the population that may, or may not, hold in practice. This chapter examines its assumptions, demonstrating how to evaluate their ... More


Fitting Basic Discrete-Time Hazard Models

Judith D. Singer and John B. Willett

in Applied Longitudinal Data Analysis: Modeling Change and Event Occurrence

Published in print:
2003
Published Online:
September 2009
ISBN:
9780195152968
eISBN:
9780199864980
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195152968.003.0011
Subject:
Public Health and Epidemiology, Public Health, Epidemiology

Good data analysis involves more than using a computer package to fit a statistical model to data. To conduct a credible discrete-time survival analysis, one must: specify a suitable model for hazard ... More


Event History Data

Ludwig Fahrmeir and Thomas Kneib

in Bayesian Smoothing and Regression for Longitudinal, Spatial and Event History Data

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199533022
eISBN:
9780191728501
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199533022.003.0006
Subject:
Mathematics, Probability / Statistics, Biostatistics

This chapter extends Bayesian approaches for smoothing and regression developed in previous chapters to regression models for survival and event history data with structured additive predictors. This ... More


Introduction

Rafal Goebel, Ricardo G. Sanfelice, and Andrew R. Teel

in Hybrid Dynamical Systems: Modeling, Stability, and Robustness

Published in print:
2012
Published Online:
October 2017
ISBN:
9780691153896
eISBN:
9781400842636
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691153896.003.0001
Subject:
Mathematics, Applied Mathematics

This chapter presents the model of a hybrid system to be used in this volume. The focus is on the data structure and on modeling. The model suggests that the flow set, the flow map, the jump set, and ... More


Entropy and Mutual Information

Partha P. Mitra and Hemant Bokil

in Observed Brain Dynamics

Published in print:
2007
Published Online:
May 2009
ISBN:
9780195178081
eISBN:
9780199864829
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195178081.003.0014
Subject:
Neuroscience, Techniques, Molecular and Cellular Systems

In the neuroscience literature, significant use has been made of entropy as a measure of variability, and mutual information as a measure of association. Part of the attraction of these measures ... More


Hybrid Dynamical Systems: Modeling, Stability, and Robustness

Rafal Goebel, Ricardo G. Sanfelice, and Andrew R. Teel

Published in print:
2012
Published Online:
October 2017
ISBN:
9780691153896
eISBN:
9781400842636
Item type:
book
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691153896.001.0001
Subject:
Mathematics, Applied Mathematics

Hybrid dynamical systems exhibit continuous and instantaneous changes, having features of continuous-time and discrete-time dynamical systems. Filled with a wealth of examples to illustrate concepts, ... More


Non-Standard Tense-Logics

Arthur Prior

in Past, Present and Future

Published in print:
1967
Published Online:
October 2011
ISBN:
9780198243113
eISBN:
9780191680632
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198243113.003.0004
Subject:
Philosophy, Metaphysics/Epistemology, Logic/Philosophy of Mathematics

This chapter covers the following topics: theses which assumed that time is either discrete or circular, postulates for circular time, postulates for the next and the last moment, the logic of ‘and ... More


Extending the Cox Regression Model

Judith D. Singer and John B. Willett

in Applied Longitudinal Data Analysis: Modeling Change and Event Occurrence

Published in print:
2003
Published Online:
September 2009
ISBN:
9780195152968
eISBN:
9780199864980
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195152968.003.0015
Subject:
Public Health and Epidemiology, Public Health, Epidemiology

This chapter begins by describing how to include time-varying predictors in the Cox regression model. It then introduces two methods for relaxing the proportionality assumption. Section 15.2 presents ... More


Large-Scale Discrete-Time Interconnected Dynamical Systems

Wassim M. Haddad and Sergey G. Nersesov

in Stability and Control of Large-Scale Dynamical Systems: A Vector Dissipative Systems Approach

Published in print:
2011
Published Online:
October 2017
ISBN:
9780691153469
eISBN:
9781400842667
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691153469.003.0008
Subject:
Mathematics, Applied Mathematics

This chapter develops vector dissipativity notions for large-scale nonlinear discrete-time dynamical systems. In particular, it introduces a generalized definition of dissipativity for large-scale ... More


Numerical Methods for Solving First-Order Conditions in Dynamic Optimization Problems

GREGORY C. CHOW

in Dynamic Economics: Optimization by the Lagrange Method

Published in print:
1997
Published Online:
October 2011
ISBN:
9780195101928
eISBN:
9780199855032
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195101928.003.0009
Subject:
Economics and Finance, Financial Economics

While there have already been a large number of efforts to explain the numerical solutions to dynamic optimization problems that are based mainly on dynamic programming, in this chapter the author ... More


Financial Asset Pricing Theory

Claus Munk

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199585496
eISBN:
9780191751790
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199585496.001.0001
Subject:
Economics and Finance, Econometrics

“Financial Asset Pricing Theory” offers a comprehensive overview of the classic and the current research in theoretical asset pricing. Asset pricing is developed around the concept of a state-price ... More


CLASSICAL AND QUANTUM STATISTICAL PHYSICS

Jean Zinn-Justin

in Path Integrals in Quantum Mechanics

Published in print:
2004
Published Online:
January 2010
ISBN:
9780198566748
eISBN:
9780191717994
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198566748.003.0004
Subject:
Physics, Particle Physics / Astrophysics / Cosmology, Theoretical, Computational, and Statistical Physics

This chapter provides a simple physical interpretation to the formal continuum limit that has led, from an integral over position variables corresponding to discrete times, to a path integral. It ... More


Simulating molecular evolution

Ziheng Yang

in Molecular Evolution: A Statistical Approach

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199602605
eISBN:
9780191782251
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199602605.003.0012
Subject:
Biology, Biomathematics / Statistics and Data Analysis / Complexity Studies, Evolutionary Biology / Genetics

This chapter introduces computer simulation and in particular simulation of the molecular evolutionary process. It covers the generation of random numbers as well as other discrete and continuous ... More


A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily

Harald Uhlig

in Computational Methods for the Study of Dynamic Economies

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248278
eISBN:
9780191596605
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199248273.003.0003
Subject:
Economics and Finance, Macro- and Monetary Economics

An extensive treatment is provided of methods that use log‐linear approximations to solve nonlinear dynamic discrete‐time stochastic models. These methods, based on their linear counterparts, have ... More


Discrete Bandpass Modulation Methods

Stevan Berber

in Discrete Communication Systems

Published in print:
2021
Published Online:
September 2021
ISBN:
9780198860792
eISBN:
9780191893018
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198860792.003.0007
Subject:
Physics, Atomic, Laser, and Optical Physics, Condensed Matter Physics / Materials

This chapter presents mathematical models of discrete baseband and bandpass communication systems based on binary phase-shift keying, quaternary phase-shift keying, frequency-shift keying, and ... More


Deterministic Discrete-Time Signals and Systems

Stevan Berber

in Discrete Communication Systems

Published in print:
2021
Published Online:
September 2021
ISBN:
9780198860792
eISBN:
9780191893018
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198860792.003.0014
Subject:
Physics, Atomic, Laser, and Optical Physics, Condensed Matter Physics / Materials

Due to the importance of the concept of independent discrete variable modification and the definition of discrete linear-time-invariant systems, Chapter 14 presents and discusses basic deterministic ... More


One-Player Dynamic Games

João P. Hespanha

in Noncooperative Game Theory: An Introduction for Engineers and Computer Scientists

Published in print:
2017
Published Online:
May 2018
ISBN:
9780691175218
eISBN:
9781400885442
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691175218.003.0015
Subject:
Mathematics, Logic / Computer Science / Mathematical Philosophy

This chapter focuses on one-player discrete time dynamic games, that is, the optimal control of a discrete time dynamical system. It first considers solution methods for one-player dynamic games, ... More


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