Results 51 to 60 of about 11,306 (311)

Analytical Pricing Vulnerable Options with Stochastic Volatility in a Two-Factor Stochastic Interest Rate Model

Mathematics
This paper develops an analytical pricing formula for vulnerable options with stochastic volatility under a two-factor stochastic interest rate model.
Junkee Jeon, Geonwoo Kim
doaj   +1 more source

Effect of Variance Swap in Hedging Volatility Risk

Risks, 2020
This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston’s stochastic volatility model. In the first problem, the financial market
Yang Shen
doaj   +1 more source

Multipower Variation and Stochastic Volatility [PDF]

, 2006
In this brief note we review some of our recent results on the use of high frequency financial data to estimate objects like integrated variance in stochastic volatility models. Interesting issues include multipower variation, jumps and market microstructure effects.
Barndorff-Nielsen, Ole Eiler, Shephard, N.   +1 more
openaire   +4 more sources

Establishing a Model Precursor System: Over a Decade of Research on Carbon Dots from the Citric Acid‐Urea System

Advanced Functional Materials, EarlyView.
The citric acid/urea (CA‐Urea) precursor system offers a versatile, scalable route to carbon dots with tunable luminescence and multifunctionality. Mechanistic insights into precursor chemistry and reaction parameters have enabled doping, surface modification, and hybridization strategies, yielding CDs for luminescent devices, sensing, catalysis ...
Yupeng Liu, Zhiqi Cai, Xiangxin Sun, Hanyi Zhang, Yiming Hao, Jun Wu, Zekun Yan, Xue Wu, Yiqi Liang, Liming Wang, Songnan Qu   +10 more
wiley   +1 more source

PERHITUNGAN VALUE AT RISK DENGAN PENDUGA VOLATILITAS STOKASTIK HESTON

E-Jurnal Matematika, 2018
Value at risk is a method that measures financial risk of an security or portfolio. The aims of the research is to find out the value at risk of an exchange rate using the Heston stochastic volatility model. Heston model is a strochastic volatility model
DESAK PUTU DEVI DAMIYANTI, KOMANG DHARMAWAN, LUH PUTU IDA HARINI   +2 more
doaj   +1 more source

Multi‐Scale Interface Engineering of MXenes for Multifunctional Sensory Systems

Advanced Functional Materials, EarlyView.
MXenes, as two‐dimensional transition metal carbides and nitrides, demonstrate remarkable capabilities for multifunctional sensing applications. This review systematically examines multi‐scale interface engineering approaches that enhance sensing performance, enable diverse detection functionalities, and improve system‐level compatibility in MXene ...
Jiaying Liao, Sin‐Yi Pang, Jianhua Hao
wiley   +1 more source

Optoelectronic Control of Redox Dynamics in POM Memristors for Noise‐Resilient Speech and Hardware‐Level Motion Recognition

Advanced Functional Materials, EarlyView.
Optoelectronic control of redox‐active polyoxometalate clusters in polymer matrices yields hybrid memristors with switchable volatile and non‐volatile modes, enabling reservoir‐type in‐sensor optical preprocessing and stable multilevel synapses for multimodal neuromorphic computing, including noise‐tolerant audiovisual keyword recognition and hardware ...
Xiangyu Ma, Ziyu Lv, Guohua Zhang, Zhongyue Xu, Yongbiao Zhai, Haiming Huang, Qiyan Zhang, Xiaojin Zhao, Yan Wang, Ye Zhou, Ziyu Xiong, Guanglong Ding, Wentao Xu, Su‐Ting Han   +13 more
wiley   +1 more source

Shape-constrained semiparametric additive stochastic volatility models

Statistical Theory and Related Fields, 2019
Nonparametric stochastic volatility models, although providing great flexibility for modelling the volatility equation, often fail to account for useful shape information.
Jiangyong Yin, Peter F. Craigmile, Xinyi Xu, Steven MacEachern   +3 more
doaj   +1 more source

Stochastic volatility and DSGE models [PDF]

Economics Letters, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +4 more sources

Bioinspired Adaptive Sensors: A Review on Current Developments in Theory and Application

Advanced Materials, EarlyView.
This review comprehensively summarizes the recent progress in the design and fabrication of sensory‐adaptation‐inspired devices and highlights their valuable applications in electronic skin, wearable electronics, and machine vision. The existing challenges and future directions are addressed in aspects such as device performance optimization ...
Guodong Gong, You Zhou, Qingxiu Li, Wenyu Zhao, Sunyingyue Geng, Hangfei Li, Yan‐Bing Leng, Shirui Zhu, Guanglong Ding, Yongbiao Zhai, Ziyu Lv, Ye Zhou, Su‐Ting Han   +12 more
wiley   +1 more source