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
Real Option Valuation with Stochastic Interest Rate and Stochastic Volatility
Matematika, 2019 . Real options are one of the most interesting research topics in Finance since 1977 Stewart C. Myers from MIT Sloan School of Management published his pioneering article on this subject in the Journal of Financial Economics.
Ramdhan Fazrianto Suwarman
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
Econometric analysis of realised volatility and its use in estimating stochastic volatility models [PDF]
The availability of intra-data on the prices of speculative assets means that we can use quadratic variation like measures of activity in financial markets, called realised volatility, to study the stochastic properties of returns.
Neil Shephard, Ole E. Barndorff-Nielsen
core
Linear State Models for Volatility Estimation and Prediction [PDF]
, 2006 This report covers the important topic of stochastic volatility modelling with an emphasis on linear state models. The approach taken focuses on comparing models based on their ability to fit the data and their forecasting performance.
Date, P, Hawkes, R
core
Synaptic Function in Memristor Devices for Neuromorphic Circuit Applications
Advanced Electronic Materials, EarlyView.Discover how neuromorphic devices mimic brain‐like learning: this article explores how ionic and electronic conduction processes enable artificial synapses to adapt across time scales. Uncover the essential ingredients—state‐variable dynamics, rectification, and memory—and how they can be probed through nonlinear diagnostics to engineer smarter, more ...
Juan Bisquert +3 more
wiley +1 more source
Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility. [PDF]
Financ Innov, 2022 Gong XL, Lu JY, Xiong X, Zhang W.
europepmc +1 more source
Realized Stochastic Volatility with General Asymmetry and Long Memory
, 2017 The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory (hereafter the RSV-GALM model).
Manabu Asai +2 more
semanticscholar +1 more source
Limit Theorems for Discretely Observed Stochastic Volatility Models [PDF]
, 1998 Valentine Genon-Catalot +2 more
openalex +1 more source
All‐Electric Mimicking of Synaptic Plasticity Based on the Noncollinear Antiferromagnetic Device
Advanced Electronic Materials, EarlyView.Mn3Pt was chosen as spin source with a simple face‐centered cubic structure and a noncollinear antiferromagnetic configuration to build a spin‐orbit torque (SOT) device that mimics all‐electric synaptic behavior for developing neuromorphic computing.
Cuimei Cao +7 more
wiley +1 more source