Results 71 to 80 of about 13,408 (180)
Influence of Particle Size Distribution on Random Close Packing
, 2013 The densest amorphous packing of rigid particles is known as random close packing. It has long been appreciated that higher densities are achieved by using collections of particles with a variety of sizes.
Desmond, Kenneth W., Weeks, Eric R.
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Mathematical Finance, EarlyView.ABSTRACT Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no‐arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and ...
Damien Ackerer +2 more
wiley +1 more source
Heterogeneous Basket Options Pricing Using Analytical Approximations [PDF]
This paper proposes the use of analytical approximations to price an heterogeneous basket option combining commodity prices, foreign currencies and zero-coupon bonds.
Geneviève Gauthier +3 more
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On the Normalization of the QSO's Lyman alpha Forest Power Spectrum
, 2001 The calculation of the transmission power spectrum of QSO's Lyman alpha absorption requires two parameters for the normalization: the continuum Fc and mean transmission, i.e. average of e^{-tau}.
Bi, Hongguang +2 more
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Bayesian Inference for Joint Estimation Models Using Copulas to Handle Endogenous Regressors
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This study proposes a Bayesian approach for finite‐sample inference of the Gaussian copula endogeneity correction. Extant studies use frequentist inference, build on a priori computed estimates of marginal distributions of explanatory variables, and use bootstrapping to obtain standard errors. The proposed Bayesian approach facilitates precise
Rouven E. Haschka
wiley +1 more source
A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options [PDF]
This paper proposes a class of stochastic volatility (SV) models which offers an alternative to the one introduced in Andersen (1994). The class encompasses all standard SV models that have appeared in the literature, including the well known lognormal ...
Jun Yu, Xibin Zhang, Zhenlin Yang
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Earthquake Engineering &Structural Dynamics, Volume 55, Issue 7, Page 1514-1532, June 2026.ABSTRACT The rapid development of new railway networks and the aging of existing infrastructure in seismic‐prone regions continue to motivate the need for efficient methods to simulate the dynamic behavior of coupled train track structure systems. While detailed train–structure interaction (TSI) models can capture complex mechanisms, they are often too
Miguel A. Gomez, Matthew J. DeJong
wiley +1 more source
An accurate analytical approximation for the price of a European-style arithmetic Asian option. [PDF]
For discrete arithmetic Asian options the payoff depends on the price average of the underlying asset. Due to the dependence structure between the prices of the underlying asset, no simple exact pricing formula exists, not even in a Black-Scholes setting.
Dhaene, Jan, Goovaerts, Marc, Vyncke, D
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Modelling FX smile : from stochastic volatility to skewness [PDF]
, 2007 Imperial Users ...
Luo , Lin, Luo , Lin
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On the use of lognormal distribution for environmental data analysis
, 2007 Contaminant concentration data from Superfund sites is quite often positively skewed, and the log-normal theory based statistical procedures are typically used for such data. Recent work in the environmental statistics literature, however, has shown that
Pant, Devarshi
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