Results 111 to 120 of about 204,882 (322)
A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation [PDF]
, 1999 Mikhail Chernov +3 more
openalex +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
Joint Situational Assessment‐Hierarchical Decision‐Making Framework for Maneuver Intent Decisions
Advanced Intelligent Systems, EarlyView.This study introduces a new framework for decision‐making in unmanned combat aerial vehicles (UCAVs), integrating graph convolutional networks and hierarchical reinforcement learning (HRL). The method tackles adopts a curriculum‐based training approach guided by cross‐entropy rewards.
Ruihai Chen +4 more
wiley +1 more source
Markov Regime Switching of Stochastic Volatility Lévy Model on Approximation Mode
Journal of Applied Mathematics, 2013 This paper deals with financial modeling to describe the behavior of asset returns, through consideration of economic cycles together with the stylized empirical features of asset returns such as fat tails.
Arthit Intarasit
doaj +1 more source
Limit Theorems for Discretely Observed Stochastic Volatility Models [PDF]
, 1998 Valentine Genon-Catalot +2 more
openalex +1 more source
A Complete Stochastic Volatility Model in the HJM Framework [PDF]
This paper considers a stochastic volatility version of the Heath, Jarrow and Morton (1992) term structure model. Market completeness is obtained by adapting the Hobson and Rogers (1998) complete stochastic volatility stock market model to the interest ...
Carl Chiarella, Oh-Kang Kwon
core
Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
, 2015 In this paper, we are concerned with nonparametric inference on the volatility of volatility process in stochastic volatility models. We construct several estimators for its integrated version in a high-frequency setting, all based on increments of spot ...
Vetter, Mathias
core +1 more source
Advanced Intelligent Systems, EarlyView.This work explores the three‐transistors‐one‐capacitor synaptic cell design for analog in‐memory computing, focusing on improving performance and scalability in deep neural network (DNN) training. By optimizing transistor characteristics and proposing a novel cell design, challenges such as large cell areas and retention issues are addressed.
Byoungwoo Lee +11 more
wiley +1 more source
Discrete Dynamics in Nature and Society, 2014 Dynamic portfolio choice is an important problem in finance, but the optimal strategy analysis is difficult when considering multiple stochastic volatility variables such as the stock price, interest rate, and income.
Wenjie Bi +3 more
doaj +1 more source
A new variant of estimation approach to asymmetric stochastic volatilitymodel
Quantitative Finance and Economics, 2018 This paper proposes a novel simulation-based inference for an asymmetric stochastic volatility model. An acceptance-rejection Metropolis-Hastings algorithm is developed for the simulation of latent states of the model.
Zhongxian Men, Tony S. Wirjanto
doaj +1 more source