Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility [PDF]
A rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high-frequency returns coupled with simple modeling procedures. Building
Tim Bollerslev +2 more
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Creep‐Induced Microstructural Evolution in an A2‐B2 Superalloy
Advanced Engineering Materials, EarlyView.A 27.3Ta‐27.3Mo‐27.3Ti‐8Cr‐10Al (at.%) refractory high‐entropy alloy with precipitation‐strengthened A2‐B2 microstructure was studied by creep tests at 1030°C, which demonstrate a transition in deformation mechanisms in the range of 100–150 MPa applied stress. This is associated with changes in dislocation–precipitate interactions. Relevant deformation
Liu Yang +10 more
wiley +1 more source
Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes [PDF]
In this paper, we consider an integrated volatility estimation of a stochastic volatility jump diffusion model using intraday absolute returns. We introduce our estimator as a natural extension of realized absolute variation, proposed by Barndorff ...
Shuichi Nagata
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Influence of Test Temperature and Test Frequency on Fatigue Life of Aluminum Alloy EN AW‐2618A
Advanced Engineering Materials, EarlyView.The influence of test temperature and test frequency on the fatigue life of EN AW‐2618A is investigated. High‐cycle fatigue tests are performed at different test temperatures and frequencies on the 1000 h/230°C overaged state. Both test parameters reduce fatigue life due to time‐dependent damage mechanisms.
Ying Han +5 more
wiley +1 more source
Lower error bounds and optimality of approximation for jump-diffusion SDEs with discontinuous drift. [PDF]
BIT Numer MathPrzybyłowicz P +2 more
europepmc +1 more source
A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability [PDF]
Brownian motion and normal distribution have been widely used, for example, in the Black-Scholes-Merton option pricing framework, to study the return of assets.
Steven Kou
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Creep Properties and Deformation Mechanism of Additively Manufactured NiAl‐CrMo Composites
Advanced Engineering Materials, EarlyView.Additively manufactured NiAl‐CrMo composites contain numerous interfaces and cell boundaries that control their creep response. At 700°C under high applied stress, creep is dominated by dislocation‐controlled power‐law mechanisms. At 800°C–900°C and lower stresses, creep is primarily diffusion‐controlled along cell boundaries.
Jan Vollhüter +9 more
wiley +1 more source
A reduced basis for option pricing [PDF]
We introduce a reduced basis method for the efficient numerical solution of partial integro-differential equations which arise in option pricing theory.
Rama Cont +2 more
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Advanced Engineering Materials, EarlyView.The present study investigates recycling of NiTi shape memory alloys via vacuum induction melting. An ingot was synthesized from elemental Ni and Ti and subjected to three subsequent remelting cycles. Remelting increases process durations and impurity levels and adversely affects microstructures and functional properties.
Sakia Sophia Noorzayee +7 more
wiley +1 more source
Anion diffusion processes in O- and N-mayenite investigated by neutron powder diffraction
, 2008 The crystal structure of mayenite (ideal composition: Ca12Al14O33) consists of a (disordered) calcium-aluminate framework comprising 32 of the 33 oxygen anions.
Kaiser-Bischoff, Ines +2 more
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