We give a necessary and sufficient condition on a positive compact operator T for the existence of a singular trace (i.e. a trace vanishing on the finite rank operators) which takes a finite non-zero value on T. This generalizes previous results by Dixmier and Varga. We also give an explicit description of these traces and associated ergodic states on l (N) using tools of non standard analysis in an essential way.
We address the problem of simulating efficiently from the posterior distribution over the parameters of a particular class of nonlinear regression models using a Langevin-Metropolis sampler. It is shown that as the number N of parameters increases, the proposal variance must scale as N −1/3 in order to converge to a diffusion.
Efficient valuation of exchange options with random volatilities while challenging at analytical level, has strong practical implications: in this paper we present a new approach to the problem which allows for extensions of previous known results. We undertake a route based on a multi-asset generalization of a methodology developed in Antonelli and Scarlatti (Finan Stoch 13:269-303, 2009) to handle simple European one-asset derivatives with volatility paths described by Ito's diffusive equations. Our method seems to adapt rather smoothly to the evaluation of Exchange options involving correlations among all the financial quantities that specify the model and it is based on expanding and approximating the theoretical evaluation formula with respect to correlation parameters. It applies to a whole range of models and does not require any particular distributional property. In order to test the quality of our approximation numerical simulations are provided in the last part of the paper.
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