Results 51 to 60 of about 14,774,356 (95)
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
A fractional credit model with long range dependent hazard rate
, 2013 Motivated by empirical evidence of long range dependence in macroeconomic variables like interest rates, domestic gross products or supply and demand rates, we propose a fractional Brownian motion (fBm) driven model to describe the dynamics of the short ...
Biagini, F., Fink, H., and Klüppelberg, C.
core +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
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
, 2010 In this paper we estimate the Generalized Vasicek term structure model using United Kingdom and Euro panel data. The model is presented in a state space form and the Kalman filter is used to estimate the unobserved state variables and the parameters of ...
Nowman, K.B.
core +1 more source
Application of the heath-platen estimator in the Fong-Vasicek short rate model
, 2022 S.1-24Due to the presence of stochastic volatility dynamics, the Fong-Vasicek (FV) short rate model is more complex but also more realistic than the classical Vasicek version.
Desmettre, S., Korn, R., Coskun, S.
core +1 more source
Embedding the Vasicek model into the Cox-Ingersoll-Ross model
, 2010 The Cox-Ingersoll-Ross (CIR) model and the Vasicek model are two well-known single factor models of the interest spot rate. In this paper, we construct a mapping by means of which the price of a zero-coupon bond in the CIR model may be obtained from a ...
Sinkala, W +5 more
core +1 more source
, 2020 This paper is devoted to the parameterization of correlations in the Vasicek credit portfolio model. First, we analytically approximate standard errors for value-at-risk and expected shortfall based on the standard errors of intra-cohort correlations ...
Fischer, Matthias +3 more
core +1 more source