Results 101 to 110 of about 1,203,453 (336)
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options
, 2016 Many commodity markets contain a strong seasonal component not only at the price level, but also in volatility. In this paper, the importance of seasonal behavior in the volatility for the pricing of commodity options is analyzed. We propose a seasonally
J. Arismendi +4 more
semanticscholar +1 more source
Generalized optimization framework for synthesis of thermally coupled distillation columns
AIChE Journal, EarlyView.Abstract In this article, a generalized optimization framework is proposed for the synthesis of thermally coupled distillation systems within an equation‐oriented environment. The proposed framework consists of three components: an efficient superstructure representation, a novel mathematical formulation, and the associated solution algorithm ...
Chao Liu, Yingjie Ma, Jie Li
wiley +1 more source
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
AIChE Journal, EarlyView.Abstract Supply and manufacturing networks in the chemical industry involve diverse processing steps across different locations, rendering their operation vulnerable to disruptions from unplanned events. Optimal responses should consider factors such as product allocation, delayed shipments, and price renegotiation, among other factors. In such context,
Daniel Ovalle +6 more
wiley +1 more source
RETRACTED: Artificial intelligence for emergency medical care
Health Care Science, EarlyView., 2023 ‘Applications of artificial intelligence in emergency medical service’. Abstract There is increasing research into the potential benefits of incorporating artificial intelligence (AI) and machine learning algorithms into emergency medical services. AI is finding new applications across a wide range of sectors, one of which is healthcare, where it is ...
Shivam Rajput +2 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
Reinforcement learning for optimal control of stochastic nonlinear systems
AIChE Journal, EarlyView.Abstract A reinforcement learning (RL) approach is developed in this work for nonlinear systems under stochastic uncertainty. A stochastic control Lyapunov function (SCLF) candidate is first constructed using neural networks (NNs) as an approximator to the value function, and then a control policy designed using this SCLF is developed to ensure the ...
Xinji Zhu, Yujia Wang, Zhe Wu
wiley +1 more source
Complexity, 2019 This paper presents an extension of double Heston stochastic volatility model by incorporating stochastic interest rates and derives explicit solutions for the prices of the continuously monitored fixed and floating strike geometric Asian options.
Yanhong Zhong, Guohe Deng
doaj +1 more source
Impact of rough stochastic volatility models on long-term life insurance pricing. [PDF]
Eur Actuar J, 2023 Dupret JL, Barbarin J, Hainaut D.
europepmc +1 more source