Results 101 to 110 of about 27,645 (243)
Evaluating the Potential of ChatGPT to Support Climate Risk and Adaptation Assessment
Climate Resilience and Sustainability, Volume 4, Issue 2, December 2025.Scaling up adaptation is essential for addressing climate risks, but there are no globally applicable, sector‐based inventories of adaptation options. Assistive technologies like ChatGPT can help with the rapid scoping of climate risks, adaptation actions, costs and benefits and flag potential maladaptation. Adaptation measures identified for national (
Robert L. Wilby
wiley +1 more source
, 2013 We prove existence and uniqueness of stochastic representations for solutions to elliptic and parabolic boundary value and obstacle problems associated with a degenerate Markov diffusion process.
Feehan, Paul M. N., Pop, Camelia
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Optimal hedging of longevity risks for group self‐annuity portfolios
Journal of Risk and Insurance, Volume 92, Issue 4, Page 1013-1058, December 2025.Abstract This paper proposes a dynamic longevity risk hedging strategy for smooth survival benefit profiles of group self‐annuity (GSA) schemes in the presence of population basis risk. The fund manager of GSA acts on behalf of fund participants in selecting the optimal hedge. The hedging framework is formulated as a mean‐variance optimization problem,
Yang Shen +3 more
wiley +1 more source
Neural network-based pricing of high-dimensional Bermudan basket options under stochastic volatility
Networks and Heterogeneous MediaPricing high-dimensional basket options poses significant challenges, especially when dealing with nonlinear payoffs. Previous research has demonstrated the effectiveness of neural networks in pricing Bermudan basket call options, particularly under the ...
Bjørn André Aaslund +3 more
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Mathematical Methods in the Applied Sciences, Volume 48, Issue 17, Page 16110-16121, 30 November 2025.ABSTRACT The paper proposes a variational analysis of the 1‐hypergeometric stochastic volatility model for pricing European options. The methodology involves the derivation of estimates of the weak solution in a weighted Sobolev space. The weight is closely related to the stochastic volatility dynamic of the model.
José Da Fonseca, Wenjun Zhang
wiley +1 more source
Volatility Is Log-Normal—But Not for the Reason You Think
Risks, 2018 It is impossible to discriminate between the commonly used stochastic volatility models of Heston, log-normal, and 3-over-2 on the basis of exponentially weighted averages of daily returns—even though it appears so at first sight. However, with a 5-
Martin Tegnér, Rolf Poulsen
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Forecasting the Term Structure of Variance Swaps [PDF]
Recently, Diebold and Li (2003) obtained good forecasting results for yield curves in a reparametrized Nelson-Siegel framework. We analyze similar modeling approaches for price curves of variance swaps that serve nowadays as hedging instruments for ...
Kai Detlefsen, Wolfgang Härdle
core
Reduced-Order modeling for Heston stochastic volatility model
Hacettepe Journal of Mathematics and StatisticsIn this paper, we compare the intrusive proper orthogonal decomposition (POD) with Galerkin projection and the data-driven dynamic mode decomposition (DMD), for Heston's option pricing model. The full order model is obtained by discontinuous Galerkin discretization in space and backward Euler in time.
Sinem Kozpınar +2 more
openaire +4 more sources
On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index
Journal of Probability and Statistics, 2014 This paper focuses on the pricing of variance and volatility swaps under Heston model (1993). To this end, we apply this model to the empirical financial data: CAC 40 French Index. More precisely, we make an application example for stock market forecast:
Halim Zeghdoudi +2 more
doaj +1 more source
A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model. [PDF]
Comput Econ, 2023 Yoon Y, Kim JH.
europepmc +1 more source