In this paper we consider the possible dependence of the market price of risk on time and interest rates. This fact gives as a result that the risk-neutral drift, which is one of the coefficients of the pricing equation, also depends on time and interest rates. Then, we estimate the risk-neutral drift directly from the slope of the yield curve. This approach is very accurate as we show with a n...

This paper presents preliminary analysis and modelling of facial motion capture data recorded on a speaker uttering nonsense syllables and sentences with various acted facial expressions. We analyze here the impact of facial expressions on articulation and determine prediction errors of simple models trained to map neutral articulation to the various facial expressions targeted. We show that mo...

We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family P of possible physical measures. A robust notion NA1(P) of no-arbitrage of the first kind is introduced; it postulates that a nonnegative, nonvanishing claim cannot be superhedged for free by using simple trading strategies. Our first main result is a version of the fundamen...

We develop a new theory for pricing call type American options in complete markets which do not necessarily admit an equivalent local martingale measure. This resolve an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89168, 2009].

We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. Under a symmetry condition Fajardo and Mordecki (2006) obtain that SK is given by the Bate’s x% rule. In this paper we study SK under the absence of that symmetry condition. More exactly, we derive sufficient conditions for SK to be positive, in terms of the characteristic triplet of the Lév...

The minimal distance equivalent martingale measure (EMM) defined in Goll and Rüschendorf (2001) is the arbitrage-free equilibrium pricing measure. This paper provides an algorithm to approximate its density and the fair price of any contingent claim in an incomplete market. We first approximate the infinite dimensional space of all EMMs by a finite dimensional manifold of EMMs. A Riemannian geo...

We investigate the weak convergence of a non-Gaussian GARCH model together with an application to the pricing of European style options determined using two different stochastic discount factors: the extended Girsanov principle of Elliott and Madan (1998) and the conditional Esscher transform. Applying these changes of measure to asymmetric GARCH models sampled at increasing frequencies, we obt...

Risk-sensitive criteria have been used to derive robust filters, identifiers, and controllers. The fundamental issues of existence and uniqueness of an estimate of a random variable given a random vector with respect to an order-( ) risk-sensitive criterion are studied in this note. More precisely, we prove the existence of a unique risk-sensitive estimate provided 0 and 1. For the remaining ca...

In the framework of the topcolor-assisted technicolor (TC2) model, we study production of the neutral top-pion π0 t in association with a high-pT jet at the LHC, which proceeds via the partonic processes gg −→ π0 t g, gq −→ π0 t q, qq̄ −→ π0 t g, gb(b̄) −→ π0 t b(b̄), and bb̄ −→ π0 t g. We find that it is very challenging to detect the neutral top-pion π0 t via the process pp −→ π0 t + jet +X → tt̄+...

We review the physical and cosmological consequences of two possible electromagnetic couplings to the dark sector: (i) a neutral lightest dark-matter particle (LDP) with nonzero electric and/or magnetic dipole moments and (ii) a charged next-to-lightest dark-matter particle (NLDP) which decays to a neutral LDP. For scenario (i) we find that a relatively light particle with mass between a few Me...