Results 71 to 80 of about 928,276 (315)

Pricing Contingent Claims in a Two-Interest-Rate Multi-Dimensional Jump-Diffusion Model via Market Completion

AppliedMath
This paper investigates a financial market where asset prices follow a multi-dimensional Brownian motion process and a multi-dimensional Poisson process characterized by diverse credit and deposit rates where the credit rate is higher than the deposit ...
Alexander Melnikov, Pouneh Mohammadi Nejad   +1 more
doaj   +1 more source

Pricing Warrant Bonds with Credit Risk under a Jump Diffusion Process

Discrete Dynamics in Nature and Society, 2018
This article investigates the pricing of the warrant bonds with default risk under a jump diffusion process. We assume that the stock price follows a jump diffusion model while the interest rate and the default intensity have the feature of mean ...
Xiaonan Su, Wei Wang, Wensheng Wang
doaj   +1 more source

LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING

Mathematical Finance, 2007
We aim at accommodating the existing affine jump‐diffusion and quadratic models under the same roof, namely the linear‐quadratic jump‐diffusion (LQJD) class. We give a complete characterization of the dynamics of this class by stating explicitly the structural constraints, as well as the admissibility conditions.
Cheng, Peng, Scaillet, Olivier
openaire   +2 more sources

Smart Expansion and Fast Calibration for Jump Diffusion [PDF]

SSRN Electronic Journal, 2008
Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and Poisson jump process. We show that the accuracy of the formula depends on the smoothness of the payoff function.
Benhamou, Eric, Gobet, Emmanuel, Miri, Mohammed   +2 more
openaire   +5 more sources

Directed evolution of enzymes at the crossroads of tradition and innovation

FEBS Open Bio, EarlyView.
An iterative cycle of data‐driven enzyme optimization comprising four stages: genetic diversification of a template enzyme, expression of protein variants, high‐throughput evaluation, and machine‐learning‐guided redesign of the next variant library.
Maria Tomkova, Andrej Mirossay, Erik Sedlak   +2 more
wiley   +1 more source

Stochastic Calculus for Pathwise Observables of Markov-Jump Processes: Unification of Diffusion and Jump Dynamics

Physical Review X
Pathwise observables—functionals of stochastic trajectories—are at the heart of time-averaged statistical mechanics and are central to thermodynamic inequalities such as uncertainty relations, speed limits, and correlation bounds. They provide a means of
Lars Torbjørn Stutzer, Cai Dieball, Aljaž Godec   +2 more
doaj   +1 more source

Reliability Analysis Based on a Jump Diffusion Model with Two Wiener Processes for Cloud Computing with Big Data

Entropy, 2015
At present, many cloud services are managed by using open source software, such as OpenStack and Eucalyptus, because of the unification management of data, cost reduction, quick delivery and work savings.
Yoshinobu Tamura, Shigeru Yamada
doaj   +1 more source

Exact simulation of jump-diffusion processes with Monte Carlo applications [PDF]

, 2008
We introduce a novel algorithm (JEA) to simulate exactly from a class of one-dimensional jump-diffusion processes with state-dependent intensity. The simulation of the continuous component builds on the recent Exact Algorithm ((1)).
Casella, Bruno, Roberts, Gareth O.
core  

From energy provision to protein synthesis: Tunnelling nanotubes as mediators of intercellular metabolic cooperation in cancer

FEBS Open Bio, EarlyView.
The cytoskeleton‐mediated transport of mitochondria via tunnelling nanotubes restores respiration, increases ATP production, rescues cells from apoptosis, activates the AKT/mTOR signalling pathway, promotes cell migration and invasiveness, contributes to cancer progression and treatment resistance.
Stanislava Martínková, Jan Trnka
wiley   +1 more source

Smart expansion and fast calibration for jump diffusion [PDF]

Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and Poisson jump process.
Emmanuel Gobet, Eric Benhamou, Mohammed Miri   +2 more
core