Results 41 to 50 of about 129,146 (344)
Model of Continuous Random Cascade Processes in Financial Markets
Frontiers in Physics, 2020 This article presents a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade: one multiplicatively combines with ...
Jun-ichi Maskawa, Koji Kuroda
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Forecasting the Crude Oil Prices Volatility With Stochastic Volatility Models
SAGE Open, 2021 In this article, the stochastic volatility model is introduced to forecast crude oil volatility by using data from the West Texas Intermediate (WTI) and Brent markets.
Dondukova Oyuna, Liu Yaobin
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Maximum likelihood approach for several stochastic volatility models
, 2012 Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable.
Camprodon, Jordi, Perelló, Josep
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, 1995 This paper prepared for the Handbook of Statistics (Vol.14: Statistical Methods in Finance), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and related stylized facts), statistical modelling in discrete ...
Ghysels, E., Harvey, A., Renault, E.
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Advanced Functional Materials, EarlyView.This study investigates electromechanical PUFs that improve on traditional electric PUFs. The electron transport materials are coated randomly through selective ligand exchange. It produces multiple keys and a key with motion dependent on percolation and strain, and approaches almost ideal inter‐ and intra‐hamming distances.
Seungshin Lim +7 more
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An Investment and Consumption Problem with CIR Interest Rate and Stochastic Volatility
Abstract and Applied Analysis, 2013 We are concerned with an investment and consumption problem with stochastic interest rate and stochastic volatility, in which interest rate dynamic is described by the Cox-Ingersoll-Ross (CIR) model and the volatility of the stock is driven by Heston’s ...
Hao Chang, Xi-min Rong
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AIMS Mathematics, 2023 In general, derivation of closed-form analytic formulas for the prices of path-dependent exotic options is a challenging task when the underlying asset price model is chosen to be a stochastic volatility model.
Min-Ku Lee, Jeong-Hoon Kim
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Advanced Functional Materials, EarlyView.The study proposes a 1‐bit programmable metasurface based on flip‐disc display, named flip‐disc metasurface (FD‐MTS). This new design enables ultralow energy consumption while maintaining coding patterns. It also exhibits high scalability and multifunctional flexibility.
Jiang Han Bao +8 more
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Advanced Functional Materials, EarlyView.A W/NbOx/Pt memristor demonstrates the coexistence of volatile, non‐volatile, and threshold switching characteristics. Volatile switching serves as a reservoir computing layer, providing dynamic short‐term processing. Non‐volatile switching, stabilized through ISPVA, improves reliable long‐term readout. Threshold switching operates as a leaky integrate
Ungbin Byun, Hyesung Na, Sungjun Kim
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Pricing Arithmetic Asian Options under Hybrid Stochastic and Local Volatility
Journal of Applied Mathematics, 2014 Recently, hybrid stochastic and local volatility models have become an industry standard for the pricing of derivatives and other problems in finance. In this study, we use a multiscale stochastic volatility model incorporated by the constant elasticity ...
Min-Ku Lee +2 more
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