Results 31 to 40 of about 775 (103)
Modeling electricity loads in California: a continuous-time approach
, 2001 In this paper we address the issue of modeling electricity loads and prices with diffusion processes. More specifically, we study models which belong to the class of generalized Ornstein-Uhlenbeck processes.
B. Kozłowska +12 more
core +1 more source
Robust Bernoulli Mixture Models for Credit Portfolio Risk
Mathematical Finance, EarlyView.ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley +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
Dynamically Consistent Analysis of Realized Covariations in Term Structure Models
Mathematical Finance, Volume 36, Issue 1, Page 203-236, January 2026.ABSTRACT In this article, we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no‐arbitrage setting. This is, in particular, motivated by the problem of identifying the number of statistically relevant factors in the bond market under minimal conditions.
Dennis Schroers
wiley +1 more source
Accelerating FPGA-based evolution of wavelet transform filters by optimized task scheduling [PDF]
, 2012 Adaptive embedded systems are required in various applications. This work addresses these needs in the area of adaptive image compression in FPGA devices.
Moreno González, Félix Antonio +4 more
core +3 more sources
Bid and Ask spreads for the cap and floor contracts under the Liouville fractional Vasicek model
Studies of Applied Economics, 2021 This paper presents bid and ask formulas for cap and floor contracts prices byusing Wang transform under a Liouville fractional Vasicek (LfVasicek) interest rate model. To do this, the parameters of the model are calibrated by using the Newton-Raphson (NR) method.
openaire +1 more source
Recursive algorithm for transition density approximation and simulation of diffusion processes
Statistica Neerlandica, Volume 79, Issue 4, November 2025.ABSTRACT Diffusion processes and more generally, stochastic differential equations (SDEs), are widely used to model natural and financial systems. However, accurately simulating them remains challenging due to the limitations of discretization methods. We propose a recursive algorithm to approximate the transition density of scalar diffusion processes ...
Samir Ben‐Hariz +2 more
wiley +1 more source
New Quantile Regression Model for Unit Interval Regressands
Engineering Reports, Volume 7, Issue 10, October 2025.The study developed a quantile regression model whose probability density function (PDF) is shown below. The reparameterized PDF plot for some selected parameter and quantile values depicts shapes such as approximately symmetric, increasing, decreasing, right‐skewed, and left‐skewed.
Robert Adombire Akumbobe +2 more
wiley +1 more source
Deep learning the Hurst parameter of linear fractional processes and assessing its reliability
Quality and Reliability Engineering International, Volume 40, Issue 8, Page 4228-4246, December 2024.Abstract This research explores the reliability of deep learning, specifically Long Short‐Term Memory (LSTM) networks, for estimating the Hurst parameter in fractional stochastic processes. The study focuses on three types of processes: fractional Brownian motion (fBm), fractional Ornstein–Uhlenbeck (fOU) process, and linear fractional stable motions ...
Dániel Boros +5 more
wiley +1 more source
Bonds versus Equities: Information for Investment
The Journal of Finance, Volume 79, Issue 6, Page 3893-3941, December 2024.ABSTRACT We provide a simple model of investment by a firm funded with debt and equity and empirical evidence to demonstrate that, once we control for the debt overhang problem with credit spreads, asset volatility is an unambiguously positive signal for investment, while equity volatility sends a mixed signal: Elevated volatility raises the option ...
HUIFENG CHANG +2 more
wiley +1 more source