Linear stochastic volatility models [PDF]
arXiv, 2009 In this paper we investigate general linear stochastic volatility models with correlated Brownian noises. In such models the asset price satisfies a linear SDE with coefficient of linearity being the volatility process. This class contains among others Black-Scholes model, a log-normal stochastic volatility model and Heston stochastic volatility model.
arxiv
A Locally Both Leptokurtic and Fat-Tailed Distribution with Application in a Bayesian Stochastic Volatility Model. [PDF]
Entropy (Basel), 2021 Lenart Ł, Pajor A, Kwiatkowski Ł.
europepmc +1 more source
Estimating Correlated Jumps and Stochastic Volatilities [PDF]
We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model’s parameters and latent state variables (jumps and stochastic ...
Jiří Witzany
core +1 more source
Uncontrolled Learning: Codesign of Neuromorphic Hardware Topology for Neuromorphic Algorithms
Advanced Intelligent Systems, EarlyView.Codesign is used to implement a neuroscience‐inspired machine learning algorithm in all neuromorphic hardware. In this implementation, the hidden memristors cannot be directly accessed, limiting control of the network during training. By leveraging theoretical tools, including memristor circuits dynamics and a closed form expression for the network ...
Frank Barrows +3 more
wiley +1 more source
Energy‐Efficient Online Training with In Situ Parallel Computing on Electrochemical Memory Arrays
Advanced Intelligent Systems, EarlyView.By leveraging the intrinsic functionalities of electrochemical random‐access memory, the conductance response to pulse amplitude and quantity enables stochastic multiplication and parallel outer‐product operations between two vectors. This approach significantly accelerates weight gradient computations while reducing time complexity, latency, and ...
Yingming Lu +7 more
wiley +1 more source
Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated Filtering
EkonometriaAim: The paper aims to propose a new estimation method for the Cholesky Multivariate Stochastic Volatility Model based on the iterated filtering algorithm (Ionides et al., 2006, 2015).
Piotr Szczepocki
doaj
Modelling fluctuations of financial time series: from cascade process to stochastic volatility model [PDF]
, 2000 J. F. Muzy, J. Delour, Emmanuel Bacry
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An Asymptotic Expansion with Push-Down of Malliavin Weights [PDF]
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well as the density of the underlying asset price in multi-dimensional stochastic volatility models.
Akihiko Takahashi, Toshihiro Yamada
core +3 more sources
Controlling the Crystallization Kinetics of Low Loss Phase Change Material Sb2S3
Advanced Physics Research, EarlyView.This paper explores the glass dynamics and crystallization kinetics of antimony sulfide (Sb2S3), and its implications for optoelectronic technologies. It highlights how adjusting sample dimensions influences crystallization kinetics, shifting from growth‐driven to nucleation‐driven processes. The findings emphasize the importance of understanding these
Felix Hoff +4 more
wiley +1 more source
Stochastic Volatility Models as Hidden Markov Models and Statistical Applications [PDF]
, 2000 Valentine Genon-Catalot +3 more
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