Results 71 to 80 of about 2,164 (216)
Semi-analytical pricing of barrier options in the time-dependent Heston model [PDF]
, 2022 P. Carr, A. Itkin, D. Muravey
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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
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Pricing European Options in the Heston and the Double Heston models
Metody Ilościowe w Badaniach Ekonomicznych, 2022 Two models of pricing European options are presented and compared in this paper, i.e. the Heston model and the double Heston model. As the models belong to the class of stochastic volatility models, particular attention is paid to the way the characteristic functions and their inverse Fourier transforms are determined.
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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
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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
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Decoupling Interday and Intraday Volatility Dynamics With Price Durations
Journal of Time Series Analysis, Volume 46, Issue 6, Page 1224-1250, November 2025.ABSTRACT This article introduces a novel framework for volatility estimation based on price durations with an adaptive price change threshold. This innovation allows us to disentangle daily and intraday volatility dynamics from price durations, which greatly simplifies the parametric modelling of price durations and hence leads to more accurate ...
Yifan Li +3 more
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Independent effects of white matter lesion volume and APOE ɛ4 on ARIA‐H in A4 Study
Alzheimer's &Dementia, Volume 21, Issue 10, October 2025.Abstract INTRODUCTION Increased white matter hyperintensity (WMH) volume is a common but non‐specific finding in AD. This study investigates the effect of baseline WMH volume and APOE ε4 on magnetic resonance imaging (MRI)‐visible hemorrhagic lesion emergence.
Zahra Shirzadi +17 more
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Deep calibration of the quadratic rough Heston model [PDF]
, 2021 Mathieu Rosenbaum, Jianfei Zhang
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An Investigation of the Pattern and Extent of Regional Rural Transformation Development in Pakistan
Asia &the Pacific Policy Studies, Volume 12, Issue 3, September 2025.ABSTRACT Rural Transformation Development (RTD) is about the reconstruction of the rural economies their regional patterns through rapid industrialisation, urbanisation, changing cropping patterns and employment structure transformation. However, existing literature overlooks the spatial disparities and multidimensional nature of this transformation ...
Farah Naz, Abedullah, Shujaat Farooq
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Understanding the Factors Driving the Demand of Structured Investment Products
Journal of Futures Markets, Volume 45, Issue 9, Page 1154-1181, September 2025.ABSTRACT Structured products have gained increasing popularity among retail investors over the last decade, both in Europe and in the United States. However, based on data on the ex post realized gains of retail clients investing in certificates, the literature has concluded that the high demand of these products may be hard to rationalize within a ...
Massimo Guidolin +2 more
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