We consider an economic model with a deterministic money market account and a finite set of basic economic risks. The real-world prices of the risks are represented by continuous time stochastic processes satisfying a...We consider an economic model with a deterministic money market account and a finite set of basic economic risks. The real-world prices of the risks are represented by continuous time stochastic processes satisfying a stochastic differential equation of diffusion type. For the simple class of log-normally distributed instantaneous rates of return, we construct an explicit state-price deflator. Since this includes the Black-Scholes and the Vasicek (Ornstein-Uhlenbeck) return models, the considered deflator is called Black-Scholes- Vasicek deflator. Besides a new elementary proof of the Black-Scholes and Margrabe option pricing formulas a validation of these in a multiple risk economy is achieved.展开更多
A new approach that bounds the largest eigenvalue of 3 × 3 correlation matrices is presented. Optimal bounds by given determinant and trace of the squared correlation matrix are derived and shown to be more strin...A new approach that bounds the largest eigenvalue of 3 × 3 correlation matrices is presented. Optimal bounds by given determinant and trace of the squared correlation matrix are derived and shown to be more stringent than the optimal bounds by Wolkowicz and Styan in specific cases.展开更多
Bell’s theorem determines the number of representations of a positive integer in terms of the ternary quadratic forms x2+by2+cz2 with b,c {1,2,4,8}. This number depends only on the number of representations of an int...Bell’s theorem determines the number of representations of a positive integer in terms of the ternary quadratic forms x2+by2+cz2 with b,c {1,2,4,8}. This number depends only on the number of representations of an integer as a sum of three squares. We present a modern elementary proof of Bell’s theorem that is based on three standard Ramanujan theta function identities and a set of five so-called three-square identities by Hurwitz. We use Bell’s theorem and a slight extension of it to find explicit and finite computable expressions for Tunnel’s congruent number criterion. It is known that this criterion settles the congruent number problem under the weak Birch-Swinnerton-Dyer conjecture. Moreover, we present for the first time an unconditional proof that a square-free number n 3(mod 8) is not congruent.展开更多
文摘We consider an economic model with a deterministic money market account and a finite set of basic economic risks. The real-world prices of the risks are represented by continuous time stochastic processes satisfying a stochastic differential equation of diffusion type. For the simple class of log-normally distributed instantaneous rates of return, we construct an explicit state-price deflator. Since this includes the Black-Scholes and the Vasicek (Ornstein-Uhlenbeck) return models, the considered deflator is called Black-Scholes- Vasicek deflator. Besides a new elementary proof of the Black-Scholes and Margrabe option pricing formulas a validation of these in a multiple risk economy is achieved.
文摘A new approach that bounds the largest eigenvalue of 3 × 3 correlation matrices is presented. Optimal bounds by given determinant and trace of the squared correlation matrix are derived and shown to be more stringent than the optimal bounds by Wolkowicz and Styan in specific cases.
文摘Bell’s theorem determines the number of representations of a positive integer in terms of the ternary quadratic forms x2+by2+cz2 with b,c {1,2,4,8}. This number depends only on the number of representations of an integer as a sum of three squares. We present a modern elementary proof of Bell’s theorem that is based on three standard Ramanujan theta function identities and a set of five so-called three-square identities by Hurwitz. We use Bell’s theorem and a slight extension of it to find explicit and finite computable expressions for Tunnel’s congruent number criterion. It is known that this criterion settles the congruent number problem under the weak Birch-Swinnerton-Dyer conjecture. Moreover, we present for the first time an unconditional proof that a square-free number n 3(mod 8) is not congruent.
