Results 111 to 120 of about 5,321,021 (304)
A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes [PDF]
Option values are well-known to be the integral of a discounted transition density times a payoff function; this is just martingale pricing. It's usually done in 'S-space', where S is the terminal security price.
Alan L. Lewis
core
Chiral separation of chloroalkanes with the chromatographic column onboard Martian rovers
FEBS Letters, EarlyView.Computer image of the Rosalind Franklin Rover of ESA's ExoMars mission. ExoMars is scheduled to land on planet Mars in Oxia Planum in 2029. This area represents an interesting spot to look for biosignatures. Investigations of ExoMars include measurement on molecular chirality. We show that chiral chloroalkanes, that have been identified on Mars, can be
Asma Merzougui +4 more
wiley +1 more source
A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices [PDF]
We present a numerical method for pricing derivatives on electricity prices. The method is based on approximating the generator of the underlying process and can be applied for stochastic processes that are combinations of diusions and jump processes ...
Albanese, Claudio +2 more
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Prospecting the protein design landscape
FEBS Letters, EarlyView.This review outlines the current state of various protein design approaches. We discuss the current possibilities enabled by recently released tools, highlight future avenues to pursue in protein design, and underscore the crucial role of key databases and resources for successful protein design workflows.
Jakob R. Riccabona +4 more
wiley +1 more source
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
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Generalized continuous-time random walks, subordination by hitting times, and fractional dynamics [PDF]
, 2009 Functional limit theorems for continuous-time random walks (CTRW) are found in the general case of dependent waiting times and jump sizes that are also position dependent.
Kolokoltsov, V. N. (Vasiliĭ Nikitich)
core +1 more source
On an Inverse First-Passage Problem for Jump-Diffusion Processes
MathematicsComputing the exact mathematical expression for a quantity defined in terms of a first-passage time random variable for a jump-diffusion process is in general very difficult. In this paper, we consider the following inverse problem: can we find a certain
Mario Lefebvre
doaj +1 more source
Direct observation of atomic network migration in glass
New Journal of Physics, 2014 Many physical properties of glasses are still far from being understood at the atomic level. The lack of experimental methods capable of studying glassy dynamics at this scale has impeded the development of a complete model for atomic transport processes.
Manuel Ross +3 more
doaj +1 more source
FEBS Letters, EarlyView.Synechocystis strains deficient in succinate dehydrogenase (SDH) secrete more succinate than the WT under dark anaerobic conditions, supporting that SDH then primarily acts as SDH, not as a fumarate reductase. L‐aspartate oxidase (Laspo) from Synechocystis is functional under anaerobic conditions, reducing fumarate to succinate.
Kateryna Kukil +3 more
wiley +1 more source
Consistency Problems For Jump-Diffusion Models [PDF]
In this paper we examine a consistency problem for a multi-factor jump diffusion model. First we bridge a gap between a jump-diffusion model and a generalized Heath-Jarrow-Morton (HJM) model, and bring a multi- factor jump-diffusion model into the HJM ...
Erhan Bayraktar +2 more
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