We put forward a new general iterative process. We prove a convergence result as well as a stability result regarding this new iterative process for weak contraction operators.

We use the BFKL equation to calculate the rate of deep inelastic scattering events containing two forward jets (adjacent to the proton remnants) at HERA. We compare the production of two forward jets with that of only one forward jet (the “Mueller” process). We obtain a stable prediction for this two to one jet ratio, which may serve as a measure of the BFKL vertex function.

Assuming that daily spot exchange rates follow a martingale process. we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modeled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the ...

This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipović, Overbeck and Schmidt (2009) to the case where the forward rates are driven by a finite dimensional Lévy process. The contribution of this work is twofold: we provide conditions for absence of arbitrage in this generalized framework. Furthermore, we ...

Let the underlying process Y be a semimartingale taking values in an interval I. Let φ : I → R be a difference of convex functions, and let X := φ(Y ). A typical application takes Y to be a positive price process and φ(y) = log y for y ∈ I = (0,∞). Then [the floating leg of] a forward-starting weighted variance swap or generalized variance swap on φ(Y ) (shortened to “on Y ” if the φ is underst...

In this study, efficient methods for optimal sensor placement (OSP) based on a new geometrical viewpoint for damage detection in structures is presented. The purpose is to minimize the effects of noise on the damage detection process. In the geometrical viewpoint, a sensor location is equivalent to projecting the elliptical noise on to a face of response space which is corresponding to the sens...