Results 21 to 30 of about 15,168 (264)
Convergence of the compensated split-step θ-method for nonlinear jump-diffusion systems
Advances in Difference Equations, 2017 In this paper, our aim is to develop a compensated split-step θ (CSSθ) method for nonlinear jump-diffusion systems. First, we prove the convergence of the proposed method under a one-sided Lipschitz condition on the drift coefficient, and global ...
Jianguo Tan, Weiwei Men
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Relationships between Copper Futures Markets from the Perspective of Jump Diffusion
Mathematics, 2021 This paper analyzes the price correlation effect between domestic and foreign copper futures contracts. The VAR-BEKK-GARCH (1,1) spillover effect model and the BN-S class non-parametric model based on the jumping perspective are used.
Xue Jin +3 more
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Symbolic models for retarded jump–diffusion systems [PDF]
Automatica, 2020 19 pages, 4 ...
Jagtap, Pushpak, Zamani, Majid
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Recursive Utility and Jump-Diffusions [PDF]
SSRN Electronic Journal, 2014 We derive the equilibrium interest rate and risk premiums using recursive utility for jump-diffusions. Compared to to the continuous version, including jumps allows for a separate risk aversion related to jump size risk in addition to risk aversion related to the continuous part. We also consider a version that allows marginal utility to depend on past
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Firm Decisions under Jump-Diffusive Dynamics [PDF]
SSRN Electronic Journal, 2019 Graduate Institute of International and Development Studies Working Paper ; no.
Deopa, Neha, Rinaldo, Daniele
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Jump-Diffusion Modeling in Emission Markets [PDF]
Stochastic Models, 2011 Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate the fair prices of such financial products, one needs appropriate models for the evolution of the underlying assets,
Borovkov, K., Decrouez, G., Hinz, J.
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Discrete Dynamics in Nature and Society, 2018 This paper proposes a second-order jump diffusion model to study the jump dynamics of stock market returns via adding a jump term to traditional diffusion model. We develop an appropriate maximum likelihood approach to estimate model parameters.
Tianshun Yan +2 more
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Minimizing an Insurer’s Ultimate Ruin Probability by Reinsurance and Investments
Mathematical and Computational Applications, 2019 In this paper, we work with a diffusion-perturbed risk model comprising a surplus generating process and an investment return process. The investment return process is of standard a Black⁻Scholes type, that is, it comprises a single risk-free asset
Christian Kasumo
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Hydrogen Dynamics in Hydrated Chitosan by Quasi-Elastic Neutron Scattering
Bioengineering, 2022 Chitosan, an environmentally friendly and highly bio-producible material, is a potential proton-conducting electrolyte for use in fuel cells. Thus, to microscopically elucidate proton transport in hydrated chitosan, we employed the quasi-elastic neutron ...
Yuki Hirota +4 more
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Subordinate Shares Pricing under Fractional-Jump Heston Model [PDF]
تحقیقات مالی, 2019 Objective: In this paper, while introducing Heston's model of stochastic variance, regarding the jump process and the long-term memory feature of prices, a new model for pricing subordinate shares is presented.
Omid Jenabi, Nazar Dahmardeh Ghaleno
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