Results 121 to 130 of about 928,276 (315)
A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives [PDF]
, 2005 Technical ReportThe LIBOR market (LM) model (Brace, Gatarek, and Musiela [8], Miltersen, Sandmann, Sondermann [21], and Jamshidian [18]) is a HeathJarrow-Morton model (Heath, Jarrow, and Morton [15]) specified to be an interest rate version of the ...
Kusuda, Koji
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Advanced Engineering Materials, EarlyView.This study presents a reversible temperature sensor with high switching ratio, ∼103. The device is fabricated using PET‐ITO and carbon nanotube dispersions in alkane. Considering its application in cold chain logistics, a proof‐of‐concept with LED is showcased. Thus, a temperature drop below the threshold temperature (crystallization temperature of the
Sunil Kumar Behera +8 more
wiley +1 more source
A discrete-time approximation for jump-diffusion option valuation.
, 2022 We introduce a discrete trinomial market model, with the relative risk-neutral measures, that converges in law to a jump-diffusion model. In this model we value the arbitrage price of an option and we verify numerically the goodness of the convergence of
Zambonin, Alberto
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Advanced Engineering Materials, EarlyView.The corrosion performance of AlSi7Mg and AlSi10Mg alloys produced through selective laser melting (SLM) was examined under compressive stress in a chloride environment. Electrochemical analyses, including open‐circuit potential (OCP), potentiodynamic polarization (CPP), and electrochemical impedance spectroscopy (EIS), were complemented by scanning ...
Femi John Akinfolarin +2 more
wiley +1 more source
This study investigates the optimal switching boundary to a renewable fuel when oil prices exhibit continuous random fluctuations along with occasional discontinuous jumps. In this paper, oil prices are modeled to follow jump diffusion processes.
Bhattacharya, Subhra K., Sardana, Kavita
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The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison [PDF]
We propose a generalization of the Shirakawa (1991) model to capture the jump component in fixed income markets. The model is formulated under the Heath, Jarrow and Morton (1992) framework, and allows the presence of a Wiener noise and a finite number of
To, Thuy Duong, Carl Chiarella
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Advanced Engineering Materials, EarlyView.This study explored how effective nickel aluminide coatings are obtained in providing oxidation resistance applied to the Inconel 738 alloy, modeling with diffusion models. In the present study, kinetics and thermal behavior of the Inconel 738 alloy were studied by the low‐temperature thermoreactive aluminizing process, which was carried out at 625°C ...
Gozde Celebi Efe +4 more
wiley +1 more source
Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility [PDF]
We aim at accommodating the existing affine jump-diffusion and quadratic models under the same roof, namely the linear-quadratic jump-diffusion (LQJD) class.
Peng Cheng, Olivier Scaillet
core
Zein‐Based Adhesives: Sustainable Extraction and Application in Bioadhesive Technologies
Advanced Engineering Materials, EarlyView.Zein is extracted from corn gluten meal using a simple and scalable process with high yield (~90%). The resulting protein is applied in bioadhesives modified with Ca2+ and Fe3+ ions, exhibiting substrate‐dependent adhesion. The findings demonstrate competitive bonding performance and highlight the role of ionic interactions in tuning adhesion ...
Paula Bertolino Sanvezzo +3 more
wiley +1 more source
THE SPECTRAL METHOD OF OPTIMAL FILTERING AND EXTRAPOLATION FOR JUMP-DIFFUSION MODELS
Научный вестник МГТУ ГА, 2016 The article deals with the optimal filtering and extrapolation problems for non-stationary stochastic differential systems with a Poisson component. To find an approximate density of the observed object’s state vector the spectral method based on the ...
K. A. Rybakov
doaj