Results 151 to 160 of about 204,882 (322)

Short-maturity asymptotics for VIX and European options in local-stochastic volatility models [PDF]

arXiv
We derive the short-maturity asymptotics for European and VIX option prices in local-stochastic volatility models where the volatility follows a continuous-path Markov process. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics are considered.
arxiv  

Trade‐offs among restored ecosystem functions are context‐dependent in Mediterranean‐type regions

Ecography, EarlyView.
Global biodiversity hotspots, including Mediterranean‐type ecosystems worldwide, are highly threatened by global change that alters biodiversity, ecosystem functions, and services. Some restoration activities enhance ecosystem functions by reintroducing plant species based on known relationships between plant traits and ecosystem processes.
Sebastian Fiedler, Michael P. Perring, José A. Monteiro, Cristina Branquinho, Oksana Buzhdygan, Lohengrin A. Cavieres, Elsa E. Cleland, Jordi Cortina‐Segarra, José M. Grünzweig, Jennifer A. Holm, Katja Irob, Trevor F. Keenan, Melanie Köbel, Fernando T. Maestre, Jörn Pagel, Natalia Rodríguez‐Ramírez, Paloma Ruiz‐Benito, Frank M. Schurr, Efrat Sheffer, Enrique Valencia, Britta Tietjen   +20 more
wiley   +1 more source

The Fourier-Malliavin Volatility (FMVol) MATLAB library [PDF]

arXiv
This paper presents the Fourier-Malliavin Volatility (FMVol) estimation library for MATLAB. This library includes functions that implement Fourier- Malliavin estimators (see Malliavin and Mancino (2002, 2009)) of the volatility and co-volatility of continuous stochastic volatility processes and second-order quantities, like the quarticity (the squared ...
arxiv  

ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS [PDF]

, 2001
Rohit Deo, Clifford M. Hurvich
openalex   +1 more source

Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation [PDF]

The stochastic volatility model enjoys great success in modeling the time-varying volatility of asset returns. There are several specifications for volatility including the most popular one which allows logarithmic volatility to follow an autoregressive ...
Maxwell L. King, Xibin Zhang
core  

Optimal Control Strategy for Stability Performance Improvement of Hybrid Power Systems With Electric Vehicle Integration

Energy Science &Engineering, EarlyView.
ABSTRACT The present article explores the frequency control of hybrid power systems integrated with electric vehicles (EVs). The hybrid power system is a complicated nonlinear entity that highlights the significant issue of dynamic control owing to inadequate damping under fluctuating load conditions.
Zahid Farooq, Shameem Ahmad Lone, Taha Selim Ustun, Asadur Rahman, Ahmet Onen, Cagil Ozansoy   +5 more
wiley   +1 more source

The memory of stochastic volatility models [PDF]

, 2001
Peter M. Robinson
openalex   +1 more source

Optimal Day‐Ahead Coordinated Scheduling for Efficient and Sustainable Energy Hubs Incorporating Electric Vehicles and Hydrogen Systems

Energy Science &Engineering, EarlyView.
Main architecture of the proposed energy hub. ABSTRACT Globally, energy and fresh water are essential for well‐being, but industrial growth and population increases pose significant challenges in meeting current and future demands. To address the freshwater crisis, desalination methods like reverse osmosis are widely adopted.
Shaimaa A. M. Mousa, Abdelfatah Ali, Karar Mahmoud, Mostafa F. Shaaban, Essam E. M. Mohamed   +4 more
wiley   +1 more source

Multivariate Stochastic Volatility Modeling via Integrated Nested Laplace Approximations: A Multifactor Extension

Econometrics
This study introduces a multivariate extension to the class of stochastic volatility models, employing integrated nested Laplace approximations (INLA) for estimation. Bayesian methods for estimating stochastic volatility models through Markov Chain Monte
João Pedro Coli de Souza Monteneri Nacinben, Márcio Laurini   +1 more
doaj   +1 more source

Regime-Switching Stochastic Volatility and Short-term Interest Rates [PDF]

, 2001
Madhu Kalimipalli, Raúl Susmel
openalex   +1 more source