Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility [PDF]
Starting from the European option valuation framework of Chauveau & Gatfaoui (2002), we establish the link with stochastic volatility models. And, we propose both a new vision and a general framework for valuing European options in the light of ...
Gatfaoui Hayette, Chauveau Thierry
core
Advanced Intelligent Systems, EarlyView.A volatile‐switching compact model of electrochemical metallization memory cells for neuromorphic architecture is developed and validated by reliable reproduction of device characterization measurements: I−V sweeps, SET kinetics, relaxation dynamics.
Rana Walied Ahmad +4 more
wiley +1 more source
Collaborative Visual Localization for Modular Self‐Reconfigurable Robots
Advanced Intelligent Systems, EarlyView.Relative localization in modular self‐reconfigurable robots is challenged by hardware limitations, constrained fields of view, and sensor faults. This paper, based on the SnailBot platform, presents a vision‐based collaborative localization method that combines ArUco markers with learning‐based algorithms to enable robust pose estimation from ...
Guanqi Liang +4 more
wiley +1 more source
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models [PDF]
Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the
Michael McAleer +2 more
core +2 more sources
Stochastic Volatility Models with Skewness Selection. [PDF]
Entropy (Basel)Martins I, Freitas Lopes H.
europepmc +1 more source
SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE [PDF]
This paper examines the stochastic volatility model suggested by Heston (1993). We employ a time-series approach to estimate the model and we discuss the potential effects of time-varying skewness and kurtosis on the performance of the model.
Gabriele Fiorentini +2 more
core
SiOx‐Based Probabilistic Bits Enabling Invertible Logic Gate for Cryptographic Applications
Advanced Intelligent Systems, EarlyView.To enable lightweight hardware encryption and decryption, a Ti/SiOx/Ti threshold switching device is engineered to generate controllable stochastic oscillations. By tuning the input voltage, the device produces a programmable spike probability governed by intrinsic switching dynamics, enabling probabilistic bits that construct an invertible ...
Jihyun Kim, Hyeonsik Choi, Jiyong Woo
wiley +1 more source
Impact of capital market volatility on economic growth - An analysis based on stochastic volatility model. [PDF]
HeliyonChang M, Li Y.
europepmc +1 more source
Advanced Intelligent Systems, EarlyView.Complex dynamics, often avoided in electromechanical design, can enhance soft robotics. We develop durable magnetic soft actuators operating in tunable dynamic regimes, enabling random number generation, stochastic computing, and time‐series prediction.
Eduardo Sergio Oliveros‐Mata +14 more
wiley +1 more source
Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions. [PDF]
Appl Stoch Models Bus Ind, 2017 Abanto-Valle CA +3 more
europepmc +1 more source