Markov chains are frequently used in Operational Research to describe how a system changes over time, its behaviour being governed by its transition matrix. This paper describes a technique for ...

We compute the limiting distributions of the largest eigenvalue of a complex Gaussian sample covariance matrix when both the number of samples and the number of variables in each sample become large.

A credit-sensitive note (CSN) is a corporate coupon-bearing bond whose floating coupon rates link to the credit rating of the corporation. Acharya, Das and Sundaram proposed a model to price them, but ...