Results 101 to 110 of about 1,024,611 (253)
Quanto Option Pricing in the Parsimonious Heston Model [PDF]
SSRN Electronic Journal, 2009 In this work we use the Parsimonious Multi–Asset Heston model recently developed in [Dimitroff et al., 2009] at Fraunhofer ITWM, Department Financial Mathematics, Kaiserslautern (Germany) and apply it to Quanto options. We give a summary of the model and its calibration scheme. A suitable transformation of the Quanto option payoff is explained and used
Dimitroff, G., Szimayer, A., Wagner, A.
openaire +2 more sources
Global poverty: A Review of Measurement, Levels, and Trends in a Historical Perspective
Journal of Economic Surveys, Volume 39, Issue 2, Page 706-766, April 2025.Abstract Global poverty both in terms of conceptualization and measurement has been the point of a long‐standing debate for at least the last 20 years. The debate mostly evolves around the appropriateness of the dominant dollar‐a‐day approach—conceptualized and popularized by the World Bank since the early 1990s—and the quest for (better) alternatives.
Michail Moatsos
wiley +1 more source
Stationary Heston model: Calibration and Pricing of exotics using Product Recursive Quantization [PDF]
arXiv, 2020 A major drawback of the Standard Heston model is that its implied volatility surface does not produce a steep enough smile when looking at short maturities. For that reason, we introduce the Stationary Heston model where we replace the deterministic initial condition of the volatility by its invariant measure and show, based on calibrated parameters ...
arxiv
GCB Bioenergy, Volume 17, Issue 3, March 2025.A combination of biochar‐based fertilisers and reactive barriers filled by activated biochar has the potential to improve soil carbon storage, soil moisture retention, and crop yield in the short term. ABSTRACT Climate change threatens long‐term soil health because of increased severity and frequency of drought periods. Applying biochar to soils before
Negar Omidvar +13 more
wiley +1 more source
How deep is your model? Network topology selection from a model validation perspective
Journal of Mathematics in Industry, 2022 Deep learning is a powerful tool, which is becoming increasingly popular in financial modeling. However, model validation requirements such as SR 11-7 pose a significant obstacle to the deployment of neural networks in a bank’s production system.
Nikolai Nowaczyk +3 more
doaj +1 more source
The Art of Creative Inquiry—From Question Asking to Prompt Engineering
The Journal of Creative Behavior, Volume 59, Issue 1, 2025.ABSTRACT As artificial intelligence and natural language processing methods rapidly develop, communication plays a pivotal role in every‐day interactions. In this theoretical paper, we explore the overlap and commonalities between question‐asking and prompt engineering.
Gal Sasson Lazovsky +2 more
wiley +1 more source
Probability distribution of returns in the Heston model with stochastic volatility* [PDF]
, 2002 Adrian A. Drǎgulescu +1 more
openalex +3 more sources
Series Expansion and Fourth-Order Global Padé Approximation for a Rough Heston Solution
Mathematics, 2020 The rough Heston model has recently been shown to be extremely consistent with the observed empirical data in the financial market. However, the shortcoming of the model is that the conventional numerical method to compute option prices under it requires
Siow Woon Jeng, Adem Kilicman
doaj +1 more source
Quasi-Monte Carlo methods for the Heston model [PDF]
arXiv, 2012 In this paper, we discuss the application of quasi-Monte Carlo methods to the Heston model. We base our algorithms on the Broadie-Kaya algorithm, an exact simulation scheme for the Heston model. As the joint transition densities are not available in closed-form, the Linear Transformation method due to Imai and Tan, a popular and widely applicable ...
arxiv
Economic growth and Indian wealth‐income ratios in the long run: 1860–2018
Metroeconomica, Volume 76, Issue 1, Page 2-23, February 2025.Abstract This paper presents new series on the evolution of wealth‐income ratios in India. I construct a new macro‐history dataset, covering the period 1860–2018 and containing historical series on the composition and level of national wealth, national income, savings, investment and prices.
Rishabh Kumar
wiley +1 more source