Asymptotic Analysis for One-Name Credit Derivatives
Abstract and Applied Analysis, 2013 We propose approximate solutions to price defaultable zero-coupon bonds as well as the corresponding credit default swaps and bond options. We consider the intensity-based approach of a two-correlated-factor Hull-White model with stochastic volatility of
Yong-Ki Ma, Beom Jin Kim
doaj +1 more source
Real Option Valuation with Stochastic Interest Rate and Stochastic Volatility
Matematika, 2019 . Real options are one of the most interesting research topics in Finance since 1977 Stewart C. Myers from MIT Sloan School of Management published his pioneering article on this subject in the Journal of Financial Economics.
Ramdhan Fazrianto Suwarman
doaj +1 more source
Econometric analysis of realised volatility and its use in estimating stochastic volatility models [PDF]
The availability of intra-data on the prices of speculative assets means that we can use quadratic variation like measures of activity in financial markets, called realised volatility, to study the stochastic properties of returns.
Neil Shephard, Ole E. Barndorff-Nielsen
core
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
, 2020 We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochastic local volatility. First, we handle a case in which the drift is given as difference of two stochastic short rates. Such a setting is natural in foreign
Ogetbil, Orcan
core
Linear State Models for Volatility Estimation and Prediction [PDF]
, 2006 This report covers the important topic of stochastic volatility modelling with an emphasis on linear state models. The approach taken focuses on comparing models based on their ability to fit the data and their forecasting performance.
Date, P, Hawkes, R
core
Spintronic Memtransistor Leaky Integrate and Fire Neuron for Spiking Neural Networks
Advanced Electronic Materials, EarlyView.Spintronic memtransistor neurons based on domain walls enable energy‐efficient, field‐gated, and current‐controlled LIF functionality for neuromorphic computing, as demonstrated. When integrated into spiking neural network architectures, these devices achieve >96% pattern recognition accuracy, demonstrating high performance, scalability, and mem ...
Aijaz H. Lone +7 more
wiley +1 more source
Large deviations for fractional volatility models with non-Gaussian volatility driver [PDF]
arXiv, 2020 We study stochastic volatility models in which the volatility process is a function of a continuous fractional stochastic process, which is an integral transform of the solution of an SDE satisfying the Yamada-Watanabe condition. We establish a small-noise large deviation principle for the log-price, and, for a special case of our setup, obtain ...
arxiv
A Bayesian analysis based on multivariate stochastic volatility model: evidence from green stocks. [PDF]
J Comb Optim, 2023 Ma M, Zhang J.
europepmc +1 more source
Measuring time-varying economic fears with consumption-based stochastic discount factors [PDF]
This paper analyzes empirically the volatility of consumption-based stochastic discount factors as a measure of implicit economic fears by studying its relationship with future economic and stock market cycles. Time-varying economic fears seem to be well
Belén Nieto, Gonzalo Rubio
core
Supply chain risk in grain trading: Inventories as real options for shipping grain
Agribusiness, EarlyView.Abstract Integrating trading and logistics is an important challenge in commodity trading. Trading and logistics are strategic decisions and are integral to most commodities including grain shipping by rail, in addition to other modes (barges, ocean shipping). There are substantial risks, such as the ordering and placement of rail cars.
William W. Wilson, Jesse Klebe
wiley +1 more source