Results 41 to 50 of about 129 (88)
, 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
openaire +2 more sources
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
wiley +1 more source
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
wiley +1 more source
Numerical Methods for Partial Differential Equations, Volume 40, Issue 3, May 2024.Abstract We develop an efficient pricing approach for guaranteed minimum withdrawal benefits (GMWBs) with continuous withdrawals under a realistic modeling setting with jump‐diffusions and stochastic interest rate. Utilizing an impulse stochastic control framework, we formulate the no‐arbitrage GMWB pricing problem as a time‐dependent Hamilton‐Jacobi ...
Yaowen Lu, Duy‐Minh Dang
wiley +1 more source
International Journal of Finance &Economics, Volume 29, Issue 2, Page 1877-1895, April 2024.Abstract This paper defines a variety of game theoretic solution concepts in the language of soft set theory. We begin by defining the Nash equilibrium in pure strategies. We assume that the gains of the players are totally ordered and non‐desirable alternatives are absent. Moreover, we introduce the notions of strong and semi‐strong utility. These two
Iraklis Kollias +2 more
wiley +1 more source
How Integrated are Credit and Equity Markets? Evidence from Index Options
The Journal of Finance, Volume 79, Issue 2, Page 949-992, April 2024.ABSTRACT We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit‐risk model with stochastic volatility and jumps using new results for pricing compound options via multivariate affine transform analysis. The
PIERRE COLLIN‐DUFRESNE +2 more
wiley +1 more source
Lie Symmetry Analysis for the Fractal Bond‐Pricing Model of Mathematical Finance
Journal of Mathematics, Volume 2024, Issue 1, 2024.The classical bond‐pricing models, as important financial tools, show strong vitality in bond pricing. However, these models also expose their theoretical defects, which leads to inconsistencies with the actual observation results and usually causes the theoretical prices of bonds to be lower than the actual market prices in the financial market.
Chao Yue, Chuanhe Shen, M. M. Bhatti
wiley +1 more source
Properties, Bounds, and Estimation of Rényi Entropy in Consecutive k‐out‐of‐n:G Systems
Journal of Mathematics, Volume 2024, Issue 1, 2024.This study investigates the Renyi entropy properties of consecutive k‐out‐of‐n : G systems. Initially, a formula for the Renyi entropy of the lifetime of a consecutive k‐out‐of‐n:G system is derived, offering a thorough insight into its Renyi entropy characteristics.
Mansour Shrahili, Antonio Di Crescenzo
wiley +1 more source
Undersökning Av Finasiella Modeller Med Fraktionella Processer Och Wiener's Kaosexpansion
, 2022 The aim of this thesis is to simulate stochastic models that are driven by a fractional Brownian motion process and to apply these methods to financial applications related to yield rate and asset price modelling.
Hummelgren, Olof
core +1 more source
The Fractional OU Process: Term Structure Theory and Application [PDF]
The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical affine models. In particular, this paper expands the flexibility of the DTSMs by applying a fractional Brownian motion as the ...
Esben Hoeg, Per Frederiksen
core