Lecture Notes-Monograph Series, Vol. 52, Time Series and Related Topics: In Memory of Ching-Zong Wei (2006), pp. 236-244 (9 pages) This exposition explains the basic ideas of Stein's method for ...
We consider the uncovered set (i.e. the complement of the union of growing random intervals) in the one-dimensional Johnson-Mehl model. Let S(z, L) be the number of components of this set at time z > ...
Satz über die Approximation der Binomialverteilung durch die Poisson-Verteilung. Es sei λ ≥ 0 eine reelle Zahl und (p n) n ∈ℕ eine Folge im Intervall [0, 1] mit der Eigenschaft ...
This paper describes a new numerical method, based on Stein’s method and zero bias transformation, of computing collateralized debt obligation (CDO) tranche prices. We propose first-order correction ...
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