Results 91 to 100 of about 2,164 (216)

Strong convergence of the Euler-Maruyama method for the stochastic volatility jump-diffusion model and financial applications

AIMS Mathematics
This work considered strong convergence of the Euler-Maruyama (EM) method for a stochastic volatility jump-diffusion model (SVJD model, for short).
Weiwei Shen, Yan Zhang
doaj   +1 more source

Multi-dimensional Legendre wavelets approach on the Black-Scholes and Heston Cox Ingersoll Ross equations

AIMS Mathematics, 2019
The one dimension Legendre Wavelet is a numerical method to solve one dimension equation. In this paper Black-Scholes equation (B-S), that has applied via single asset American option and Heston Cox- Ingersoll- Ross equation (HCIR), as partial ...
Jafar Biazar, Fereshteh Goldoust
doaj   +1 more source

Interpretability in deep learning for finance: A case study for the Heston model

Risk Sciences
Deep learning is a powerful tool whose applications in quantitative finance are growing every day. Yet, artificial neural networks behave as black boxes, and this introduces risks, hindering validation and accountability processes.
Damiano Brigo, Xiaoshan Huang, Andrea Pallavicini, Haitz Sáez de Ocáriz Borde   +3 more
doaj   +1 more source

Forecasting Latin-American Currency Exchange using Models with Static and Stochastic Volatility

Ingeniería, 2018
Context: The currency market is known as the most liquid market in the financial system. Its strong repercussion in the economy is tied to the capitalization and the impulse that this market offers through the increase of investments and therefore of ...
Laura Camila Roldán Martínez
doaj   +1 more source

Pricing Variance Swaps Under Heston Stochastic Volatility Model with Stochastic Interest Rate and Stochastic Dividend Yield

, 2023
Habakuk Djiké
openalex   +1 more source

Large and moderate deviations for importance sampling in the Heston model [PDF]

, 2023
Marc Geha, Antoine Jacquier, Žan Žurič   +2 more
openalex   +1 more source

An explicit solution for optimal investment in Heston model [PDF]

, 2015
Elena Boguslavskaya, Dmitry Muravey
openalex   +1 more source

A Comparison of Neural Networks and Bayesian Approaches for the Heston Model Estimation (Forget Statistics – Machine Learning is Sufficient!)

, 2023
Jiří Witzany, Milan Fičura
openalex   +1 more source

Complex Logarithms and the Piecewise Constant Extension of the Heston Model [PDF]

, 2010
Shamim Afshani
openalex   +1 more source

Deterministic value iteration for perpetual American put options

AIMS Mathematics
We introduce a deterministic, policy-targeted Bellman value-iteration framework for computing the optimal exercise boundary of perpetual American put options.
Eungpyo Kim, Jaegi Jeon
doaj   +1 more source