Numerical algorithms for the efficient pricing of multidimensional discrete-time American and Bermudan options are constructed using regression methods and a new approach for computing upper bounds of the options' price. Using the sample space with payoffs at optimal stopping times, we propose...

This note presents sharp inequalities for deviation probability of a general quadratic form of a random vector Xi with finite exponential moments. The obtained deviation bounds are similar to the case of a Gaussian random vector. The results are stated under general conditions and do not suppose...

Given a random sample from some unknown density f0 : R → [0;∞) we devise Haar wavelet estimators for f0 with variable resolution levels constructed from localised test procedures (as in Lepski, Mammen, and Spokoiny (1997, Ann. Statist.)). We show that these estimators adapt to spatially...

The paper focuses on the problem of pricing and hedging a European contingent claim for an incomplete market model, in which evolution of price processes for a saving account and stocks depends on an observable Markov chain. The pricing function is evaluated using the martingale approach. The...

Sparse non-Gaussian component analysis (SNGCA) is an unsupervised method of extracting a linear structure from a high dimensional data based on estimating a low-dimensional non-Gaussian data component. In this paper we discuss a new approach to direct estimation of the projector on the target...

The paper aims at reconsidering the famous Le Cam LAN theory. The main features of the approach which make it different from the classical one are: (1) the study is non-asymptotic, that is, the sample size is xed and does not tend to infinity; (2) the parametric assumption is possibly...

A multiplier bootstrap procedure for construction of likelihood-based condence sets is considered for nite samples and a possible model misspecication. Theoretical results justify the bootstrap consistency for a small or moderate sample size and allow to control the impact of the parameter...

We present a three-player game in which a proposer makes a suggestion on how to split $10 with a passive responder. The oer is accepted or rejected depending on the strategy prole of a neutral third-party whose payos are independent from his decisions. If the oer is accepted the split takes...

The distribution of treatment eects extends the prevailing focus on average treatment eects to the tails of the outcome variable and quantile treatment eects denote the predominant technique to compute those eects in the presence of a confounding mechanism. The underlying quantile regression is...

Anchored inflation expectations are of key importance for monetary policy. If long-terminflation expectations arewell-anchored, they should be unaffected by short-termeconomic news. This letter introduces newsregressions with multiple endogenous breaks to investigate the de- and re-anchoring of...