Results 111 to 120 of about 8,249,197 (148)
"Leverage, heavy-tails and correlated jumps in stochastic volatility models" [PDF]
This paper proposes the efficient and fast Markov chain Monte Carlo estimation methods for the stochastic volatility model with leverage effects, heavy-tailed errors and jump components, and for the stochastic volatility model with correlated jumps.
Jouchi Nakajima, Yasuhiro Omori
core
Accelerating the calibration of stochastic volatility models [PDF]
This paper compares the performance of three methods for pricing vanilla options in models with known characteristic function: (1) Direct integration, (2) Fast Fourier Transform (FFT), (3) Fractional FFT. The most important application of this comparison
Kilin, Fiodar
core
Alternative Asymmetric Stochastic Volatility Models [PDF]
The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility.
Michael McAleer, Manabu Asai
core
Mortality Modelling Using Stochastic Mortality Models: A Study on Malaysia’s Ethnic Groups
, 2022 Qian Yun Ng, Lay Guat Chan
openaire +1 more source
Some of the next articles are maybe not open access.
Related searches:
Related searches:
Mortality Modeling Under Stochastic Frailty
Missouri Journal of Mathematical Sciences, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hasan, Kazi Tanvir, Akman, Olcay
openaire +2 more sources
A stochastic proportional hazard model for the force of mortality [PDF]
Journal of Forecasting, 2006 AbstractIn order to avoid ‘frailty’ in deterministic assumptions concerning survival law, in this paper stochastic volatility in the force of mortality is considered. In particular, mortality rates are studied by means of a stochastic model of CIR type.
DI LORENZO, EMILIA +2 more
openaire +2 more sources
A Subordinated Markov Model for Stochastic Mortality
SSRN Electronic Journal, 2011zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Xiaoming, Lin, X. Sheldon
openaire +2 more sources
A Stochastic Model for Mortality Rate on Italian Data
Journal of Optimization Theory and Applications, 2011zbMATH Open Web Interface contents unavailable due to conflicting licenses.
GIACOMETTI, Rosella +2 more
openaire +3 more sources
Evaluating the goodness of fit of stochastic mortality models
Insurance: Mathematics and Economics, 2009zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Dowd, Kevin +5 more
openaire +2 more sources
On Stochastic Mortality Modeling
SSRN Electronic Journal, 2009zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources