Results 31 to 40 of about 90 (67)
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.
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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
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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
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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
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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
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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
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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
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, 2020 We study the parameter estimation problem of Vasicek Model driven by sub-fractional Brownian processes from discrete observations, and let {S_t^H,t>=0} denote a sub-fractional Brownian motion whose Hurst parameter 1 ...
Zhang, Cuiyun +3 more
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Hydrocarbon‐derived thrombolites from the Outer Carpathians (Lower Cretaceous, Poland)
Sedimentology, Volume 71, Issue 7, Page 2183-2209, December 2024.Abstract Shallow marine thrombolites from a newly discovered Lower Cretaceous cold seep in the Outer Carpathians (Poland) were analysed in order to untangle the complex sedimentological and biogeochemical processes involved in their formation and their diagenetic modifications.
Stefano Giunti +6 more
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Firm‐level exposure to trade policy shocks: A multidimensional measurement approach
European Financial Management, Volume 30, Issue 4, Page 2135-2163, September 2024.Abstract We propose a firm‐level measure of exposure to trade policy shifts that combines characteristics (tradability of goods, share of output exported and corporate risk disclosures) with information from stock returns. We show that the measure reliably captures out‐of‐sample differences in price responses and sentiment related to trade tensions ...
Giovanni Bruno, Felix Goltz, Ben Luyten
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