Extreme value distribution of a recursive-type detector in a linear model

We study a CUSUM–type monitoring scheme designed to sequentially detect changes in the regression parameter of an underlying linear model. The test statistic used is based on recursive residuals. Main aim of this paper is to derive the limiting extreme value distribution under the null hypothesis of structural stability. The model assumptions are flexible enough to include rather general classes of error sequences such as augmented GARCH(1,1) processes. The result is underlined by an illustrative simulation study. Research partially supported by NSF grants DMS–0604670 and DMS–065242.     

Prices and sensitivities of Asian options: A survey

Asian options are hard to price both analytically and numerically. Even though they have been the focus of much attention in recent years, there is no single technique which is widely accepted to price Asian options for all choices of market parameters. For hedging purposes, the estimation of the price sensitivities is often as important as the evaluation of the prices themselves. This paper provides a survey of current methods for pricing Asian options and computing their sensitivities to the key input parameters. The methods discussed include: Monte Carlo simulation, the finite difference approach and various quasi analytical approaches and approximations. We discuss practical numerical issues that arise in implementing these methods. The paper compares the accuracy and efficiency of the different approaches and offers some general conclusions.     

Optically active synthons containing tetra- and dihydropyrimidine rings

Optically active condensed derivatives of hydroxytetrahydropyrimidines and dihydropyrimidines were prepared by condensation of (+)pulegone with amidines and guanidine. The structure, the possible mechanism of formation of these compounds, and the existence of amidinic tautomerism are discussed on the basis of the measured spectral data and x-ray diffraction analysis.     

Multivariable Wiener-Hopf operators II. Spectral topology and solvability

The C^*-algebras generated by Wiener-Hopf Operators on tangible closed cones are solvable: they have finite composition series of ideals with subquotients which are homogeneous C^*-algebras with continuous trace. In particular this refers to cones with piece-wise smooth boundary and to cones which are finite sets of orbits under some linear action.