In this paper we treat, under fairly general conditions, the question of whether asset prices admit a martingale measure when the markets are free of arbitrage opportunities. The arbitrage opportunities we consider are restricted to originate from simple trading strategies, which are most closely related to actual market portfolios. It is shown that if such simple arbitrage profits are excluded...

We study the arbitrage free option pricing problem for constant elasticity of variance (CEV) model. To treat the stochastic aspect of the CEV model, we direct attention to the relationship between the CEV model and squared Bessel processes. Then we show the existence of a unique equivalent martingale measure and derive the Cox’s arbitrage free option pricing formula through the properties of sq...

background: the spread of urbanization in floodplains as well as increase of industrial and agricultural activities in river discharges may lead to water pollution by physical, chemical and biological pollutants. one of the major concerns in monitoring the water resources system is indentifying major quality parameters and determining a relationship between physical and chemical parameters. thi...

Motivated from problems in canonical correlation analysis, reduced rank regression and sufficient dimension reduction, we introduce a double dimension reduction model where a single index of the multivariate response is linked to the multivariate covariate through a single index of these covariates, hence the name double single index model. Since nonlinear association between two sets of multiv...

We present an approach to integrate multiple fMRI datasets in the context of predictive fMRI data analysis. The approach utilizes canonical correlation analysis (CCA) to find common dimensions among the different datasets, and it does not require that the multiple fMRI datasets be spatially normalized. We apply the approach to the task of predicting brain activations for unseen concrete-noun wo...

The paper presents an application of symmetry approach to finance. This symmetry approach comes from the gauge field theory in Physics. We revise the pricing model of financial derivatives in a financial market in a gauge symmetry view, and rewrite it as a partial differential equation on a fiber bundle in covariant differential form so as to have invariance in form. The paper shows the form of...

in order to have a successful breeding program, it is important to determine the relationship among the traits. this study was conducted at research farm of isfahan university of technology to evaluate relationships among some of the agronomic and physiological traits and grain yield of ten bread wheat cultivars in optimum and stress moisture (irrigation after 70±3 and 130±3 mm evaporation from...