Results 61 to 70 of about 4,903 (187)

Parameter Estimation for a Fractional Black–Scholes Model with Jumps from Discrete Time Observations

Mathematics, 2022
We consider a stochastic differential equation (SDE) governed by a fractional Brownian motion (BtH) and a Poisson process (Nt) associated with a stochastic process (At) such that: dXt=μXtdt+σXtdBtH+AtXt−dNt,X0=x0>0.
John-Fritz Thony, Jean Vaillant
doaj   +1 more source

Dynamic Debt With Intensity‐Based Models

Journal of Futures Markets, Volume 46, Issue 2, Page 334-352, February 2026.
ABSTRACT This article proposes a dynamic debt model where the face value of debt can change. In particular, our dynamic debt setting allows debt changes ruled by intensity processes that are linked to the firm value through the correlation between the stochastic processes. Analytical solutions are obtained, and we extend the proposed dynamic debt model
João Miguel Reis, José Carlos Dias
wiley   +1 more source

N2 fixation is linked to the ability to encroach in African savanna trees

Functional Ecology, Volume 40, Issue 2, Page 517-533, February 2026.
Read the free Plain Language Summary for this article on the Journal blog. Abstract Encroachment is a globally ubiquitous phenomenon, characterised by increasing indigenous tree densities in savanna and grassland. Encroachment has been attributed to rising atmospheric CO2 concentrations fertilising tree growth and shifting the competitive balance ...
Elizabeth M. Telford, Kimberley Simpson, Lorna Street, Emily Fletcher, Richard Carkeek, Russell B. Dixon, Katie J. Field, Emma Jones, Sarah L. Raubenheimer, Edith Singini, Brad Ripley, Colin P. Osborne, Caroline E. R. Lehmann   +12 more
wiley   +1 more source

Fractional diffusion models of option prices in markets with jumps. [PDF]

Most of the recent literature dealing with the modeling of financial assets assumes that the underlying dynamics of equity prices follow a jump process or a Lévy process. This is done to incorporate rare or extreme events not captured by Gaussian models.
Cartea, Álvaro, Castillo Negrete, Diego del   +1 more
core   +3 more sources

A class of intrinsic parallel difference methods for time-space fractional Black–Scholes equation

Advances in Difference Equations, 2018
To quickly solve the fractional Black–Scholes (B–S) equation in the option pricing problems, in this paper, we construct pure alternative segment explicit–implicit (PASE-I) and pure alternative segment implicit–explicit (PASI-E) difference schemes for ...
Yue Li, Xiaozhong Yang, Shuzhen Sun
doaj   +1 more source

Supply chain risk in grain trading: Inventories as real options for shipping grain

Agribusiness, Volume 42, Issue 1, Page 175-195, Winter 2026.
Abstract Integrating trading and logistics is an important challenge in commodity trading. Trading and logistics are strategic decisions and are integral to most commodities including grain shipping by rail, in addition to other modes (barges, ocean shipping). There are substantial risks, such as the ordering and placement of rail cars.
William W. Wilson, Jesse Klebe
wiley   +1 more source

Fractional smoothness and applications in finance

, 2010
This overview article concerns the notion of fractional smoothness of random variables of the form $g(X_T)$, where $X=(X_t)_{t\in [0,T]}$ is a certain diffusion process.
A. Friedman, B. Bouchard, C. Bennet, C. Geiss, C. Geiss, D. Nualart, E. Gobet, E. Gobet, E. Gobet, E. Temam, F. Hirsch, H. Rootzen, I. Karatzas, J. Bergh, J. Jacod, J. Jacod, J. Zhang, J.P. Lemor, M. Hujo, N. El Karoui, N. Taleb, R. Avikainen, S. Geiss, S. Geiss, S. Geiss, S. Watanabe, T. Hayashi, T.G. Kurtz   +27 more
core   +4 more sources

Drivers of Hirola Antelope Diet Selection in Natural and Managed Habitat in Eastern Kenya

Ecology and Evolution, Volume 16, Issue 1, January 2026.
Hirola (Beatragus hunteri) populations in eastern Kenya consumed 17 forage species, favoring the grass Chloris virgata and the forbs Commelina benghalensis and C. diffusa. Nutrient analyses showed that natural habitats offered higher phosphorus, magnesium, and digestibility, whereas managed sites provided more sodium, potassium, and crude protein, with
Abdullahi H. Ali, S. Kivai
wiley   +1 more source

Implicit cubic B-spline scheme for the fractional Black-Scholes model with Caputo-Hadamard derivative [PDF]

Journal of Mahani Mathematical Research
In this study, we introduce a novel numerical scheme for solving the Black–Scholes equation endowed with a Caputo-Hadamard fractional time derivative. The temporal derivative is discretized via a finite-difference approach, ensuring both stability and ...
Roya Montazeri
doaj   +1 more source

Radial Basis Function Neural Network With Resilient Backpropagation for Solving Fractional‐Order Chaotic Virotherapy Dynamics

Computational and Mathematical Methods, Volume 2026, Issue 1, 2026.
The purpose of this work is to solve the fractional‐order model of chaotic virotherapy dynamics by executing a neural network scheme. The chaotic virotherapy dynamics is divided into four categories: uninfected tumor cells, infected tumor cells, immune cells, and virus‐free cells.
Zulqurnain Sabir, M. A. Abdelkawy, Muhammad Umar, Soheil Salahshour, Saira Bhatti, Smritijit Sen   +5 more
wiley   +1 more source