We show that, largely speaking, exponential families are extreme point models in the sense of Lauritzen (1974, 1982, 1984), except that in some cases degenerate measures shall be added. The results ...

In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated. The closed-form ...

This is a preview. Log in through your library . Abstract The importance of litter decomposition to carbon and nutrient cycling has motivated substantial research. Commonly, researchers fit a ...

This paper presents a simple numerical approach to compute accurately the values and optimal exercise boundaries for American options when the underlying process is a double exponential jump-diffusion ...