Results 81 to 90 of about 4,224 (208)

Extreme‐weather risk and the cross‐section of stock returns

Journal of Risk and Insurance, Volume 93, Issue 1, Page 163-198, March 2026.
Abstract We document an extreme‐weather risk premium in the cross‐section of stock returns. Between 1995 and 2019, stocks of domestic U.S. firms with the most negative sensitivity to aggregate storm losses earned an annual excess‐return spread of more than 6 percentage points relative to those with the most positive sensitivity, a difference not ...
Alexander Braun, Julia Braun, Florian Weigert   +2 more
wiley   +1 more source

The rough Heston model and option pricing

, 2021
LAUREA MAGISTRALEL’analisi del modello rough Heston e il suo utilizzo nell’ambito del pricing di opzioni sono di indubbio interesse e attualità. Infatti, negli ultimi anni l’introduzione del modello di volatilità stocastica rough ha attirato grande ...
Lischetti, Maddalena
core  

Parameter estimation of a bivariate diffusion process : the Heston model

, 2011
Includes abstract.Includes bibliographical references (leaves 27-29).The main objective of the research is to estimate the parameters on the Heston (1993) model, which models the movement of asset prices assuming that the asset price volatility is ...
Nomoyi, Siyabulela
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Quantifying Uncertainty Potential Medical Applications of the Heston Model of Financial Stochastic Volatility

The Heston Model, widely used in financial markets to characterize stochastic volatility, could potentially be useful in accounting for the impact of volatility in the broad field of medicine. This theoretical article highlights the potential uses of the
Heston, Thomas, Heston, Thomas F
core   +1 more source

The Lifted Heston Stochastic Volatility Model

, 2021
Can we capture the explosive nature of volatility skew observed in the market, without resorting to non-Markovian models? We show that, in terms of skew, the Heston model cannot match the market at both long and short maturities simultaneously.
Broodryk, Ryan
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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

Resolving Interpretation Challenges in Machine Learning Feature Selection With an Iterative Approach in Biomedical Pain Data

European Journal of Pain, Volume 30, Issue 2, February 2026.
ABSTRACT Background Machine learning (ML) is increasingly used to analyse pain‐related data, emphasising how well variables classify individuals, that is, training an algorithm to assign people to predefined groups such as high versus low pain sensitivity, rather than focusing on p‐values.
Jörn Lötsch, André Himmelspach, Dario Kringel   +2 more
wiley   +1 more source

Path properties of simulation schemes for the Heston stochastic volatility model. [PDF]

The aim of this study is to evaluate some simulation schemes recently suggested for the Heston model by examining their ability in reproducing, on the simulated paths, the autocovariance function of the generated model, when discretely observed.
Gianna Figà-Talamanca
core  

Volatility derivatives in the Heston framework

, 2014
Includes bibliographical references.A volatility derivative is a financial contract where the payoff depends on the realized variance of a specified asset's returns.
Kriel, Hiltje
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The double Heston model via filtering methods [PDF]

, 2016
Thesis (MSc)--Stellenbosch University, 2016ENGLISH ABSTRACT : Stochastic volatility models are well-known for their ability to generate a volatility smile for financial securities.
Namundjebo, Elia N
core