1,086 research outputs found
Recurrence coefficients for discrete orthonormal polynomials and the Painlevé equations
No full textWe investigate semi-classical generalizations of the Charlier and Meixner polynomials, which are discrete orthogonal polynomials that satisfy three-term recurrence relations. It is shown that the coefficients in these recurrence relations can be expressed in terms of Wronskians of modified Bessel functions and confluent hypergeometric functions, respectively for the generalized Charlier and generalized Meixner polynomials. These Wronskians arise in the description of special function solutions of the third and fifth Painlevé equations
Meixner orthogonal polynomials with parameters b and c [version 1.0]
No full textMatlab routine for the first N recurrence coefficients of Meixner orthogonal polynomials with parameters b and
Meixner presents at CrimFest Conference
No full textAssistant Professor John B. Meixner Jr. presented his draft article Biased Mitigation at the 2024 CrimFest conference
The Meixner process: Theory and applications in finance.
No full textAbstract The Meixner process is a special type of Lévy process which originates from the theory of orthogonal polynomials. It is related to the Meixner-Pollaczek polynomials by a martingale relation. We discuss several properties of the Meixner process. We apply the Meixner process to financial data. First, we shows that the Normal distribution is a very poor model to fit log-returns of financial assets like stocks or indices. In order to achieve a better fit we replace the Normal distribution by the more sophisticated Meixner distribution, taking into account, skewness and excess kurtosis. We show that the underlying Meixner distribution allows a much better fit to the data by performing a number of statistical tests. Secondly, we introduce stock price models based on the Meixner process in order to price financial derivatives. A first significant improvement can be achieved with respect to the famous Black-Scholes model (BS-model) by replacing its Brownian motion by the more flexible Meixner process. However, there still is a discrepancy between market and theoretical prices. The main feature which these Lévy models are missing is the fact that volatility or more generally the environment is changing stochastically over time. By making business time stochastic, an idea which was developed i
The β-Meixner model
No full textWe propose to approximate the Meixner model by a member of the B-family introduced in [Kuz10a]. The advantage of such approximations are the semi-explicit formulas for the running extrema under the B-family processes which enables
us to produce more efficient algorithms for certain path dependent options
Swedish Landmarks in the Delaware Valley
No full textThis is an English-language edition of Dr. Esther Chilstrom Meixner's book, "Svenska spar vid Delaware." It was published in 1960, and printed by The Chancellor Press, Inc., Bridgeport, CT. The cover shows the Kalmar Nyckel Monument in Fort Christina State Park, Wilmington, Delaware
The β-Meixner model
No full textWe propose to approximate the Meixner model by a member of the B-family introduced in [Kuz10a]. The advantage of such approximations are the semi-explicit formulas for the running extrema under the B-family processes which enables us to produce more efficient algorithms for certain path dependent options
The β-Meixner model
No full textWe propose to approximate the Meixner model by a member of the B-family introduced in [Kuz10a]. The advantage of such approximations are the semi-explicit formulas for the running extrema under the B-family processes which enables us to produce more efficient algorithms for certain path dependent options
Meixner featured on UGA Today
No full textAssistant Professor John B. Meixner Jr. was featured on UGA Today regarding helping students to become analytical thinkers. The article titled Assistant Professor\u27s new course blends law, psychology, neuroscience was written by Heidi Murphy and published 2/2/24
Meixner featured on UGA Today
No full textAssistant Professor John B. Meixner Jr. was featured on UGA Today regarding helping students to become analytical thinkers. The article titled Assistant Professor\u27s new course blends law, psychology, neuroscience was written by Heidi Murphy and published 2/2/24
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