Alberto Ohashi
On the Discrete Cram\'er-von Mises Statistics under Random Censorship.
Thu, 01/12/2012 - 15:01 — SomNambulAuthors: Alberto Ohashi, Dorival Leão
Subjects: Statistics
AbstractIn this work, nonparametric log-rank-type statistical tests are introduced in
order to verify homogeneity of purely discrete variables subject to arbitrary
right-censoring for infinitely many categories. In particular, the Cram\'er-von
Mises test statistics for discrete models under censoring is established. In
order to introduce the test, we develop the weighted log-rank statistics in a
general multivariate discrete setup which complements previous fundamental
results of Gill (1980) and Andersen et al. (1982).Weak Approximations for Wiener functionals.
Fri, 09/11/2009 - 19:12 — SomNambulAuthors: Alberto Ohashi, Dorival Leao
Subjects: Probability
AbstractIn this paper we introduce a simple space-filtration discretization scheme on
Wiener space which allows us to study weak decompositions of a large class of
Wiener functionals. We show that any Wiener functional has an underlying robust
semimartingale skeleton which under mild conditions converges to it. The
approximation is given in terms of discrete-jumping filtrations which allow us
to approximate irregular processes by means of a stochastic derivative operator
on Wiener space introduced in this work.Weak Approximations for Wiener functionals.
Fri, 09/11/2009 - 19:12 — SomNambulAuthors: Alberto Ohashi, Dorival Leao
Subjects: Probability
AbstractIn this paper we introduce a simple space-filtration discretization scheme on
Wiener space which allows us to study weak decompositions of a large class of
Wiener functionals. We show that any Wiener functional has an underlying robust
semimartingale skeleton which under mild conditions converges to it. The
approximation is given in terms of discrete-jumping filtrations which allow us
to approximate irregular processes by means of a stochastic derivative operator
on Wiener space introduced in this work.Fractional term structure models: No-arbitrage and consistency.
Thu, 09/10/2009 - 10:12 — SomNambulAuthors: Alberto Ohashi
Subjects: Pricing of Securities
AbstractIn this work we introduce Heath-Jarrow-Morton (HJM) interest rate models
driven by fractional Brownian motions. By using support arguments we prove that
the resulting model is arbitrage free under proportional transaction costs in
the same spirit of Guasoni [Math. Finance 16 (2006) 569-582]. In particular, we
obtain a drift condition which is similar in nature to the classical HJM
no-arbitrage drift restriction. The second part of this paper deals with
consistency problems related to the fractional HJM dynamics.
User login
