Results 91 to 100 of about 1,307,477 (404)

Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution [PDF]

Wilmott mag. 101 (2019) 20-41, 2018
We find various exact solutions for a new stochastic volatility (SV) model: the transition probability density, European-style option values, and (when it exists) the martingale defect. This may represent the first example of an SV model combining exact solutions, GBM-type volatility noise, and a stationary volatility density.
arxiv   +1 more source

Extravasation of Borrelia burgdorferi Across the Blood–Brain Barrier is an Extremely Rare Event

Advanced Science, EarlyView.
Lyme disease is caused by vascular dissemination of the bacteria Borrelia. In a 3D tissue‐engineered microvessel model, Borrelia extravasation across the blood–brain barrier is extremely rare, implying that neuroborreliosis is not caused via direct cytotoxicity.
Linus Wang, Zikai Xia, Anjan Singh, Bhavna Murarka, Nicole Baumgarth, John N. Aucott, Peter C. Searson   +6 more
wiley   +1 more source

Resilient and Flexible Electrohydrodynamics Pumps for Human–Machine Interfaces

Advanced Science, EarlyView.
This study introduces resilient and flexible electrohydrodynamic (EHD) pumps designed to enhance human–machine interfaces. These pumps are both quiet and compact, featuring a unique electrode configuration that overcomes the typical limitations associated with dielectric breakdowns and subsequent permanent failures.
Yu Kuwajima, Amr Marzuq, Soraya Segawa, Yuya Yamaguchi, Yuhei Yamada, Takafumi Morita, Katrene Morozov, Haruto Iwasaki, Sota Suzuki, Hiroyuki Nabae, Vito Cacucciolo, Naoki Hosoya, Yasuaki Kakehi, Shingo Maeda   +13 more
wiley   +1 more source

The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options

Journal of Inequalities and Applications, 2019
Stochastic volatility models play an important role in finance modeling. Under a mixed fractional Brownian motion environment, we study the continuity and estimates of a solution to a kind of stochastic differential equations with double volatility terms.
Yan Dong
doaj   +1 more source

Maximum likelihood approach for several stochastic volatility models [PDF]

J. Stat. Mech. (2012) P08016, 2012
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility follow a two-dimensional diffusion process where volatility is the stochastic diffusion coefficient of the log ...
arxiv   +1 more source

Estimation of integrated volatility in stochastic volatility models [PDF]

Applied Stochastic Models in Business and Industry, 2005
In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log-returns). We derive consistency and distributional results for the estimators given high-frequency data, especially taking into account what kind of process we may add to ...
openaire   +3 more sources

Strain Fluctuations Unlock Ferroelectricity in Wurtzites

Advanced Electronic Materials, EarlyView.
In this study, Steven M. Baksa and his colleagues unveiled the atomistic mechanisms of ferroelectric reversal in Mg‐substituted ZnO where Mg cations induce strain fluctuations, triggering ferroelectricity via sequential reversal. They also demonstrate that Zn:Mg composition gradients along the polar axis promotes polarization reversal, providing new ...
Steven M. Baksa, Simon Gelin, Seda Oturak, R. Jackson Spurling, Alireza Sepehrinezhad, Leonard Jacques, Susan E. Trolier‐McKinstry, Adri C. T. van Duin, Jon‐Paul Maria, Andrew M. Rappe, Ismaila Dabo   +10 more
wiley   +1 more source

Explicit implied volatilities for multifactor local-stochastic volatility models [PDF]

arXiv, 2013
We consider an asset whose risk-neutral dynamics are described by a general class of local-stochastic volatility models and derive a family of asymptotic expansions for European-style option prices and implied volatilities. Our implied volatility expansions are explicit; they do not require any special functions nor do they require numerical ...
arxiv  

Amorphous Gallium‐Oxide‐Based Non‐Filamentary Memristive Device with Highly Repeatable Multiple Resistance States

Advanced Electronic Materials, EarlyView.
A fully back‐end‐of‐line (BEOL) compatible memristive device is proposed using an amorphous gallium oxide (a‐GaOx) film grown by plasma‐enhanced atomic layer deposition. Bipolar resistive analog switching is achieved without requiring forming and with a self‐rectifying behavior.
Onur Toprak, Florian Maudet, Markus Wollgarten, Charlotte Van Dijck, Roland Thewes, Veeresh Deshpande, Catherine Dubourdieu   +6 more
wiley   +1 more source

A note on estimating stochastic volatility and its volatility: a new simple method [PDF]

arXiv, 2012
We present a new simple method of estimating stochastic volatility and its volatility. This method is applicable to both cross-sectional and time-series data. Moreover, this method does not require volatility data series.
arxiv