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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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FEBS Letters, EarlyView.We present robust protocols for the preparation of supported lipid bilayers (SLBs) incorporating either Salmonella smooth LPS or outer membrane vesicles (OMVs). We use a combination of quartz crystal microbalance with dissipation (QCM‐D) and fluorescence microscopy to both characterize the SLBs of various compositions and to probe their interactions ...
Hudson P. Pace +6 more
wiley +1 more source
The Truncated EM Method of Jump Diffusions with Markovian Switching: A Case Study of Music Signals
MathematicsThis paper investigates the strong convergence of jump-diffusion processes with Markovian switching using the truncated Euler–Maruyama (TEM) method. Under the assumption that the drift and diffusion coefficients satisfy a Khasminskii-type condition and ...
Ping Li, Ping Yu, Yuhang Zhen
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Pricing of Commodity Futures Contract by Using of Spot Price Jump-Diffusion Process [PDF]
International Journal of Business and Development Studies, 2016 Futures contract is one of the most important derivatives that is used in financial markets in all over the world to buy or sell an asset or commodity in the future.
Hossein Esmaeili Razi +3 more
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Phosphoinositides and inositol phosphates as molecular glues
FEBS Letters, EarlyView.Inositol phosphates (IPs) and phosphoinositides (PIPs) regulate diverse eukaryotic processes. Beyond recruiting signaling proteins or acting as structural cofactors, recent studies suggest they mediate protein–protein interactions as natural molecular glues.
Aleshia Seaton‐Terry +9 more
wiley +1 more source
IMEX Runge-Kutta method for solving jump-diffusion option pricing equation
上海师范大学学报. 自然科学版, 2022 The study on financial derivatives pricing has been one of the difficult issues in financial mathematics. With the continuous development and improvement of option pricing theory, the research on the jump-diffusion option pricing model has become a ...
LI Zifeng, WANG Wansheng
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Multifrequency jump-diffusions: An equilibrium approach [PDF]
Journal of Mathematical Economics, 2006 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Laurent E. Calvet, Adlai J. Fisher
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Molecular Oncology, EarlyView.We analyze cisplatin–DNA adducts (CDAs) and double‐strand breaks (DSBs) in a cell‐cycle‐dependent manner. We find that CDAs form similarly across all cell cycle phases. DSBs arise only in S‐phase. CDAs might not directly impair DSB repair, but S‐phase DSB lesions evolve in the presence of CDAs and disrupt repair in G2, also causing radiosensitization ...
Ye Qiu +10 more
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Pricing Asian Options for Jump Diffusions
CoRR, 2007 We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. Each of the element in this sequence solves a parabolic partial differen- tial equation (not an integro-differential equation). As a result we obtain a fast
Erhan Bayraktar, Hao Xing
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Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects [PDF]
, 2008 This paper analyzes the Shot-Noise Jump-Diffusion model of Altmann, Schmidt and Stute (2008), which introduces a new situation where the effects of the arrival of rare, shocking information to the financial markets may fade away in the long run.
Serrano, P., Stute, Winfried, Moreno, M.
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