Results 31 to 40 of about 4,224 (208)
The valuation of barrier options under a threshold rough Heston model
Journal of Management Science and Engineering, 2023 In this paper, we propose a novel model for pricing double barrier options, where the asset price is modeled as a threshold geometric Brownian motion time changed by an integrated activity rate process, which is driven by the convolution of a fractional ...
Kevin Z. Tong, Allen Liu
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Enhancing Preclinical Rigor: Evaluating Robustness and Numerical Stability in a Chronic Pancreatitis Mouse Model. [PDF]
Ann N Y Acad SciIn a modified cerulein‐induced chronic pancreatitis (CP) mouse model, key hallmarks of CP were robustly induced in male and female C57BL/6J (BL6) and BALB/c mice, whereas cytokine responses varied partly according to strain and sex. The RORγt inhibitor GSK805 reduced Il23r expression in the BL6 strain, significantly decreased collagen I deposition and ...
Thämlitz A +5 more
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Modeling of Tehran Stock Exchange Overall Index by Heston Stochastic Differential Equation [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2014 In this study, overall index of Tehran Stock Exchange is modeled by Heston stochastic differential equations and its performance is measured. To do this, after a brief introduction of stochastic differential equations, Heston model is explained in more ...
Abdolsadeh Neisy, Moslem Peymany
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MONOTONICITY OF PRICES IN HESTON MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2013 In this article, we study the price monotonicity in the parameters of the Heston model for a contract with a convex pay-off function; in particular we consider European put options. We show that the price is increasing in the constant term in the drift of the variance process and decreasing in the coefficient of the linear term in the drift of ...
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Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices
Econometrics, 2023 The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already for several decades. The Heston model, for instance, is based on two coupled SDEs and is often used in financial mathematics for the ...
Jarosław Gruszka , Janusz Szwabiński
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American Options in the Volterra Heston Model
SIAM Journal on Financial Mathematics, 2022 38 pages, 1 table, 8 figures.
Chevalier, Etienne +2 more
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PERHITUNGAN VALUE AT RISK DENGAN PENDUGA VOLATILITAS STOKASTIK HESTON
E-Jurnal Matematika, 2018 Value at risk is a method that measures financial risk of an security or portfolio. The aims of the research is to find out the value at risk of an exchange rate using the Heston stochastic volatility model. Heston model is a strochastic volatility model
DESAK PUTU DEVI DAMIYANTI +2 more
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Closed-Form Formula for the Conditional Moments of Log Prices under the Inhomogeneous Heston Model
Computation, 2022 Several financial instruments have been thoroughly calculated via the price of an underlying asset, which can be regarded as a solution of a stochastic differential equation (SDE), for example the moment swap and its exotic types that encourage investors
Kittisak Chumpong +1 more
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Closed-form portfolio optimization under GARCH models
Operations Research Perspectives, 2022 This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the ...
Marcos Escobar-Anel +2 more
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Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning
Journal of Finance and Data Science, 2021 The VSTOXX index tracks the expected 30-day volatility of the EURO STOXX 50 equity index. Futures on the VSTOXX index can, therefore, be used to hedge against economic uncertainty.
Daniel Guterding
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