A discontinuous mispricing model under asymmetric information
WS Buckley, H Long - European Journal of Operational Research, 2015 - Elsevier
We study a discontinuous mispricing model of a risky asset under asymmetric information
where jumps in the asset price and mispricing are modelled by Lévy processes. By …
where jumps in the asset price and mispricing are modelled by Lévy processes. By …
Optimal impulse control of a mean-reverting inventory with quadratic costs
Y Hu, Z Liu, J Wu - Journal of Industrial and Management …, 2018 - aimsciences.org
In this paper, we analyze an optimal impulse control problem of a stochastic inventory
system whose state follows a mean-reverting Ornstein-Uhlenbeck process. The objective of …
system whose state follows a mean-reverting Ornstein-Uhlenbeck process. The objective of …
Unit Root Testing in the Presence of Mean Reverting Jumps: Evidence from US T-Bond Yields
D Ilalan, Ö Özel - International Journal of Nonlinear Sciences and …, 2019 - degruyter.com
Mean reversion of financial data, especially interest rates is often tested by linear unit root
tests. However, there are times where linear unit root test results can be misleading …
tests. However, there are times where linear unit root test results can be misleading …