Results 91 to 100 of about 124,089 (295)

Maximum likelihood approach for several stochastic volatility models

, 2012
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable.
Camprodon, Jordi, Perelló, Josep
core   +1 more source

Temperature‐Resilient Reconfigurable Physical Unclonable Function Driven by Pulse Modulation Using CMOS‐Integrated Spintronic Chips

Advanced Science, EarlyView.
A reconfigurable physical unclonable function is developed using CMOS‐integrated SOT‐MRAM chips, leveraging a dual‐pulse strategy and offering enhanced environmental robustness. A temperature‐compensation effect arising from the CMOS transistor and SOT‐MTJ is revealed and established as a key prerequisite for thermal resilience.
Min Wang, Chuanpeng Jiang, Zhaohao Wang, Zhengyi Hou, Zhongkui Zhang, Yuanfu Zhao, Hong‐xi Liu, Weisheng Zhao   +7 more
wiley   +1 more source

Smiling under stochastic volatility [PDF]

This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result of the paper is to extend previous
León, Angel, Rubio Irigoyen, Gonzalo
core  

Robust and Thermally Stable Silicone Aerogels with Hyperconnected Network via Kinetically Optimized Hyperbranched Silane Precursors

Advanced Science, EarlyView.
Reactivity‐Programmed Assembly: A kinetic‐control strategy is reported for constructing hyperconnected silicone aerogels with a robust “thick‐neck” architecture. By exploiting the reactivity disparity of precursors, flexible segments are uniformly embedded within a rigid skeleton.
Aoqing Yan, Guixiang Li, Yaolan Li, Yi Luo, Bin Liu, Zhe Su, Hao Tian, Wei Shi, Bo Niu, Donghui Long   +9 more
wiley   +1 more source

GARCH-PDE models for option pricing under stochastic volatility and their finite difference solvers

Journal of Finance and Data Science
This paper presents numerical solvers for generative and hybrid option pricing models that unify econometric and diffusion-based approaches. These models are formulated as systems of continuous partial differential equations (PDEs), with stochastic ...
Qi Wang, Lu Zhang, Qian Zhang
doaj   +1 more source

WS2 Optoelectronic Memristive Reservoir Enabling Ultra‐Low‐Power, Multi‐Task, and Environmentally Stable Neuromorphic Computing

Advanced Science, EarlyView.
WS2‐based in‐memory sensing reservoir computing integrates sensing, memory, and computation in one compact device. It achieves ∼94% N‐MNIST, ∼93% eye motion perception, and ∼89% speech recognition with ultra‐low energy (∼25.5 fJ/spike). The system shows stability at 95% humidity, endurance over 1.5M cycles, and supports synaptic plasticity, enabling ...
Dayanand Kumar, Hanrui Li, Divyanshu Divyanshu, Dhananjay D. Kumbhar, Manoj Kumar Rajbhar, Amit Singh, Abdul Momin Syed, Selma Amara, Gianluca Setti, Nazek El‐Atab   +9 more
wiley   +1 more source

A Neural Stochastic Volatility Model

, 2018
In this paper, we show that the recent integration of statistical models with deep recurrent neural networks provides a new way of formulating volatility (the degree of variation of time series) models that have been widely used in time series analysis ...
Luo, Rui, Wang, Jun, Xu, Xiaojun, Zhang, Weinan   +3 more
core   +1 more source

Microscopic Origin of Non-Gaussian Distributions of Financial Returns

, 2007
In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments.
Black, Borland, Borland, Dragulescu, Eisler, Eisler, Gopikrishnan, Heston, Heston, Hull, Hull, Mantegna, Mantegna, Miccichè, Osborne, Osborne, Plerou, R. Rosenfeld, Remer, Silva, Silva, T.S. Biró, Taqqu, Tsallis, Vicente   +24 more
core   +3 more sources

Scalable Engineering of Bio‐Manufactured Extracellular Vesicles for Selective Delivery in Ovarian Cancer Patient‐Derived Models

Advanced Science, EarlyView.
Engineered extracellular vesicles displaying Ephrin‐B2 selectively target Ephrin‐B4–expressing ovarian cancer cells, enabling precise delivery in patient‐derived models. This scalable bio‐manufacturing platform reveals a versatile strategy to exploit Ephrin signaling for highly specific therapeutic payload delivery and motivates exploration of tailored
Nihar Godbole, Andrew Lai, Alexander Quinn, Marianne Gillard, Dominic Guanzon, Katherin Scholz‐Romero, Alexis Salas‐Burgos, Bastián Lillo Dapremont, Rohan Lourie, Naven Chetty, Richard Lobb, Kate Beecher, Amy E. McCart Reed, Kaltin Ferguson, Biao Sun, Yaowu He, John D. Hooper, Carlos Salomon   +17 more
wiley   +1 more source

Pricing Parisian Option under a Stochastic Volatility Model

Journal of Applied Mathematics, 2014
We study the pricing of a Parisian option under a stochastic volatility model. Based on the manipulation problem that barrier options might create near barriers, the Parisian option has been designed as an extended barrier option. A stochastic volatility
Min-Ku Lee, Kyu-Hwan Jang
doaj   +1 more source