Results 31 to 40 of about 88,663 (317)
Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets
Econometrics, 2016 This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility ...
Xin Zhang, Donggyu Kim, Yazhen Wang
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Pricing European-Style Options in General Lévy Process with Stochastic Interest Rate
Mathematics, 2020 This paper extends the traditional jump-diffusion model to a comprehensive general Lévy process model with the stochastic interest rate for European-style options pricing.
Xiaoyu Tan, Shenghong Li, Shuyi Wang
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Hydraulic Jump Behavior during Filling Process of Cast Start II
Metals, 2022 This paper presents a 0.25-scale quasi-three-dimensional hydraulic model experiment of transient fluid flow phenomena during continuous casting of steel under solidification.
Jin Chen +5 more
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Detecting jumps from Lévy jump diffusion processes☆ [PDF]
Journal of Financial Economics, 2008 Abstract Recent asset-pricing models incorporate jump risk through Levy processes in addition to diffusive risk. This paper studies how to detect stochastic arrivals of small and big Levy jumps with new nonparametric tests. The tests allow for robust analysis of their separate characteristics and facilitate better estimation of return dynamics ...
Suzanne S. Lee, Jan Hannig
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Robust filtering for discrete-time Markovian jump delay systems [PDF]
, 2004 Copyright [2004] IEEE. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of Brunel University's products or services.
Liu, X, Wang, Z, Lam, J
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A Fractional Process with Jumps for Modeling Karstic Spring Discharge Data
MathematicsFractal dimensions for the daily discharge data series of several karstic springs in northeast Hungary have recently been computed and analyzed. We model four of those series with similar fractal dimensions using a superposition of a fractional Ornstein ...
Dániel Boros +4 more
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Royal Society Open ScienceInferring assembly processes from species co-occurrence data is a long-standing challenge in community ecology. Approaches that focus on detecting non-random spatial covariance between species occurrences are limited by the fact that spatial patterns can
Fabien Laroche, Bodil Ehlers
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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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Homogenization of non-symmetric jump processes
Advances in Applied Probability, 2023 AbstractWe study homogenization for a class of non-symmetric pure jump Feller processes. The jump intensity involves periodic and aperiodic constituents, as well as oscillating and non-oscillating constituents. This means that the noise can come both from the underlying periodic medium and from external environments, and is allowed to have different ...
Huang, Qiao +2 more
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Effect of different jump distributions on the dynamics of jump processes [PDF]
Physical Review E, 2010 The paper investigates stochastic processes forced by independent and identically distributed jumps occurring according to a Poisson process. The impact of different distributions of the jump amplitudes are analyzed for processes with linear drift. Exact expressions of the probability density functions are derived when jump amplitudes are distributed ...
Daly, Edoardo, Porporato, Amilcare
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