Results 81 to 90 of about 88,663 (317)
A Modern View on Merton's Jump-Diffusion Model [PDF]
Merton has provided a formula for the price of a European call option on a single stock where the stock price process contains a continuous Poisson jump component, in addition to a continuous log-normally distributed component.
Gerald Cheang, Carl Chiarella
core
Analysis of jump processes with nondegenerate jumping kernels
Stochastic Processes and their Applications, 2013 We prove regularity estimates for functions which are harmonic with respect to certain jump processes. The aim of this article is to extend the method of Bass-Levin[BL02] and Bogdan-Sztonyk[BS05] to more general processes. Furthermore, we establish a new version of the Harnack inequality that implies regularity estimates for corresponding harmonic ...
Kaßmann, Moritz, Mimica, Ante
openaire +5 more sources
The ubiquitin‐proteasome system and autophagy as guardians of the cellular proteome
FEBS Letters, EarlyView.This Perspective covers the three principles governing the crosstalk between the ubiquitin‐proteasome system and autophagy in cellular proteostasis: (1) a shared ubiquitin code routing substrates via shuttle factors or autophagy receptors; (2) spatial compartmentalization into phase‐separated degradation hubs and organelle‐specific modules (exemplified
Ivan Dikic
wiley +1 more source
Scientific ReportsWhen analyzing the data sampled at discrete times, one encounters successive discontinuities in the trajectory of the sampled time series, even if the underlying path is continuous.
Ali Asghar Movahed, Houshyar Noshad
doaj +1 more source
FEBS Letters, EarlyView.An unexpected alternative interaction site for ethyl viologen was identified in formate dehydrogenase 1 from Methylorubrum extorquens. Combined mutagenesis, kinetic analysis, and docking revealed that aromatic residues near an iron–sulfur cluster enable flavin mononucleotide‐independent electron transfer, offering a framework for engineering improved ...
Eleni G. Poloniataki, Yong Hwan Kim
wiley +1 more source
Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics [PDF]
This paper examines the effect of macroeconomic releases on stock market volatility through a Poisson-Gaussian-GARCH process with time varying jump intensity, which is allowed to respond to such information.
José Gonzalo Rangel
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FEBS Letters, EarlyView.The physical dimensions and shape of bacterial cells define the surface area available to acquire nutrients and the volume available for synthesizing proteins and DNA. Here, we use computational systems biology to decode the importance of cell geometry as a major determinant of prokaryotic phenotype, including growth rate and metabolic efficiency. This
Ross P. Carlson +6 more
wiley +1 more source
Limit Theorems for Reinforced Jump Processes on Regular Trees [PDF]
Consider a vertex-reinforced jump process defined on a regular tree, where each vertex has exactly b children, with b >= 3. We prove the strong law of large numbers and the central limit theorem for the distance of the process from the root.
Andrea Collevecchio
core
Electron transfer between complexes III and IV in S. cerevisiae mitochondrial membranes
FEBS Letters, EarlyView.Mitochondrial oxidative phosphorylation in S. cerevisiae mitoplasts is limited by complex IV catalytic capacity, rather than two‐dimensional cytochrome c diffusion. At physiological cytochrome c : supercomplex ratios at salinity equivalent to that of 20 mm monovalent salt, activity is maximized, indicating that this low ionic strength accurately mimics
Ana Paula Lobez +2 more
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 +2 more
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