## 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

## 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

## 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

## 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

## 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

## Discrete time

*George Jaroszkiewicz*

### in Images of Time: Mind, Science, Reality

- Published in print:
- 2016
- Published Online:
- January 2016
- ISBN:
- 9780198718062
- eISBN:
- 9780191787553
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198718062.003.0023
- Subject:
- Physics, Particle Physics / Astrophysics / Cosmology

This chapter discusses difference equations and how they arise from the temporal discretization of differential equations, emphasizing that temporal discretization is not a unique process. It shows ... More

## Mathematical images of time

*George Jaroszkiewicz*

### in Images of Time: Mind, Science, Reality

- Published in print:
- 2016
- Published Online:
- January 2016
- ISBN:
- 9780198718062
- eISBN:
- 9780191787553
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198718062.003.0007
- Subject:
- Physics, Particle Physics / Astrophysics / Cosmology

This chapter discusses the mathematics underpinning various models of time, starting with a review of the requirements that any reasonable model of time should satisfy. This is followed by a detailed ... More