Results 111 to 120 of about 124,089 (295)

"Exact" and Approximate Methods for Bayesian Inference: Stochastic Volatility Case Study. [PDF]

Entropy (Basel), 2021
Shapovalova Y.
europepmc   +1 more source

Pricing stock options under stochastic volatility and interest rates with efficient method of moments estimation [PDF]

While the stochastic volatility (SV) generalization has been shown to improve the explanatory power over the Black-Scholes model, empirical implications of SV models on option pricing have not yet been adequately tested.
Jiang, George J., Sluis, Pieter J. van der   +1 more
core   +1 more source

Exfoliated‐MoS2 Gradual Resistive Switching Devices as Artificial Synapses

Advanced Electronic Materials, EarlyView.
A vertical memristor based on untreated, exfoliated MoS2 is presented, revealing gradual resistive switching governed by Schottky barrier modulation at the MoS2/metal interface from the trapping/detrapping of charges. Furthermore, the device emulates synaptic‐like plasticity functions, including: potentiation, depression, and spike‐amplitude‐dependent ...
Deianira Fejzaj, Richard Schroedter, Thomas Mikolajick, André Heinzig   +3 more
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

Monolithic Co‐Integration of Vertical FET and Memristor for 1T1R Cell

Advanced Electronic Materials, EarlyView.
This work demonstrates a vertically integrated one‐transistor–one‐memristor (1T1R) cell by stacking a MoS2 vertical field‐effect transistor (VFET) with a mortise–tenon‐shaped (MTS) memristor. This compact architecture not only exhibits highly uniform resistive switching characteristics but also provides a strategy for constructing densely packed ...
Fubo Jiao, Weiqi Dang, Gong‐Jie Ruan, Jiameng Sun, Xiaoyu Sun, Dehe Kong, Yinzhi Huang, Yuxuan Yuan, Qin Liu, Sicheng Chen, Long Zhao, Cong Wang, Pengfei Wang, Chen Pan, Yajun Fu, Shi‐Jun Liang   +15 more
wiley   +1 more source

Dynamic shrinkage in time-varying parameter stochastic volatility in mean models. [PDF]

J Appl Econ (Chichester Engl), 2021
Huber F, Pfarrhofer M.
europepmc   +1 more source

Photoresponsive Rotaxanes Switch Lipid Bilayer Neuromorphic Behavior with Light

Advanced Electronic Materials, EarlyView.
A rotaxane consisting of a macrocycle ring with two azobenzene units mechanically interlocked onto an amphiphilic axle was incorporated into droplet interface bilayers (DIBs). Photoswitching between the azobenzene configurations on the ring resulted in cycling between memristive and memcapacitive behaviors in lipid bilayers, enabling programmable ...
P.T. Podar, U.N.K. Conthagamage, J. Katsaras, V. García‐López, C. P. Collier   +4 more
wiley   +1 more source

Periodic Asymmetric LogGARCH Stochastic Volatility Models: Structure and Application

Axioms
This paper introduces a new class of periodic volatility models, namely, the Stochastic Volatility Periodic Logarithmic Asymmetric GARCH (PlogAG-SV) model.
Omar Alzeley, Ahmed Ghezal
doaj   +1 more source

Bayesian Markov Chain Monte Carlo for reparameterized Stochastic volatility models using Asian FX rates during Covid-19. [PDF]

J Appl Stat, 2023
Poonvoralak W.
europepmc   +1 more source

A Market Model for Stochastic Implied Volatility [PDF]

In this paper a stochastic volatility model is presented that directly prescribes the stochastic development of the implied Black-Scholes volatilities of a set of given standard options.
Schönbucher, Philpp J.
core