Results 21 to 30 of about 4,224 (208)
Sources of Variation in Fecal Haptoglobin in a Population of Wild Capuchin Monkeys (Cebus imitator). [PDF]
Am J PrimatolFecal haptoglobin values show significant seasonal variation in wild capuchin monkeys. Values are highest, and most variable in the early‐mid dry season, when fruit is typically scarce and water sources are standing pools, which can accumulate pathogens.
Hernández-Rojas R +6 more
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A gradient-based calibration method for the Heston model
International Journal of Computer Mathematics, 2023 The Heston model is a well-known two-dimensional financial model. Because the Heston model contains implicit parameters that cannot be determined directly from real market data, calibrating the parameters to real market data is challenging. In addition, some of the parameters in the model are non-linear, which makes it difficult to find the global ...
Anna Clevenhaus +2 more
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Comparative study between local and global optimization for Heston model
Ratio Mathematica, 2022 The objective of this study is to estimate the calibration parameters of the Heston stochastic volatility model by the two optimization methods: local and global, then to compare their performances and finally to recommend one of the two methods.
Mohammed Bouasabah
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A multifactor volatility Heston model [PDF]
Quantitative Finance, 2008 We model the volatility of a single risky asset using a multifactor (matrix) Wishart affine process, recently introduced in finance by Gourieroux and Sufana. As in standard Duffie and Kan affine models the pricing problem can be solved through the Fast Fourier Transform of Carr and Madan.
J. Da Fonseca +2 more
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ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2015 In this paper, we introduce a new form of asymptotic arbitrage, which we call a partial asymptotic arbitrage, half-way between those of Föllmer & Schachermayer (2007) [Mathematics and Financial Economics 1 (34), 213–249] and Kabanov & Kramkov (1998) [Finance and Stochastics 2, 143–172].
Jacquier, A, Haba, FH
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Subordinate Shares Pricing under Fractional-Jump Heston Model [PDF]
تحقیقات مالی, 2019 Objective: In this paper, while introducing Heston's model of stochastic variance, regarding the jump process and the long-term memory feature of prices, a new model for pricing subordinate shares is presented.
Omid Jenabi, Nazar Dahmardeh Ghaleno
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ESTIMASI VOLATILITAS STOKASTIK CRYPTOCURRENCY BITCOIN MENGGUNAKAN MODEL HESTON-MILSTEIN
E-Jurnal Matematika, 2022 Volatility is a quantity that measures how far a stock or cryptocurrency price moves in a certain period. To measure volatility properly, it can be done by using volatility modeling.
NI PUTU WIDYA ISWARI DEWI +2 more
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ROUGH-HESTON LOCAL-VOLATILITY MODEL
International Journal of Theoretical and Applied Finance, 2022 In industrial applications it is quite common to use stochastic-volatility models driven by semi-martingale Markov volatility processes. However, in order to fit exactly market volatilities, these models are usually extended by adding a local-volatility term.
ENRICO DALL’ACQUA +2 more
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Analysis of numerical integration schemes for the Heston model: a case study based on the pricing of investment certificates [PDF]
Risk Management Magazine, 2023 The Heston model is one of the most used techniques for estimating the fair value and the risk measures associated with investment certificates. Typically, the pricing engine implements a significant number of projections of the underlying until maturity,
Michelangelo Fusaro +2 more
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Asymptotic Behavior of the Fractional Heston Model [PDF]
SIAM Journal on Financial Mathematics, 2018 We consider the fractional Heston model originally proposed by Comte, Coutin and Renault. Inspired by recent ground-breaking work on rough volatility, which showed that models with volatility driven by fractional Brownian motion with short memory allows for better calibration of the volatility surface and more robust estimation of time series of ...
Hamza Guennoun +3 more
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