Results 51 to 60 of about 1,307,477 (404)
American Journal of Botany, Volume 109, Issue 12, Page 1991-2005, December 2022., 2022 Abstract Premise Numerous processes influence plant distributions and co‐occurrence patterns, including ecological sorting, limiting similarity, and stochastic effects. To discriminate among these processes and determine the spatial scales at which they operate, we investigated how functional traits and phylogenetic relatedness influence the ...
Jared J. Beck +7 more
wiley +1 more source
Precise asymptotics: Robust stochastic volatility models [PDF]
, 2018 We present a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option prices.
P. Friz, Paul Gassiat, P. Pigato
semanticscholar +1 more source
Gaussian Stochastic Volatility Models: Scaling Regimes, Large Deviations, and Moment Explosions [PDF]
Stochastic Processes and their Applications, 2018 In this paper, we establish sample path large and moderate deviation principles for log-price processes in Gaussian stochastic volatility models, and study the asymptotic behavior of exit probabilities, call pricing functions, and the implied volatility.
Archil Gulisashvili
semanticscholar +1 more source
Dynamic equicorrelation stochastic volatility [PDF]
Computational Statistics & Data Analysis, 2016 A multivariate stochastic volatility model with dynamic equicorrelation and cross leverage effect is proposed and estimated. Using a Bayesian approach, an efficient Markov chain Monte Carlo algorithm is described where we use the multi-move sampler, which generates multiple latent variables simultaneously.
Yuta Kurose, Yasuhiro Omori
openaire +3 more sources
Option Pricing under the Jump Diffusion and Multifactor Stochastic Processes
Journal of Function Spaces, 2019 In financial markets, there exists long-observed feature of the implied volatility surface such as volatility smile and skew. Stochastic volatility models are commonly used to model this financial phenomenon more accurately compared with the conventional
Shican Liu +3 more
doaj +1 more source
Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm [PDF]
Journal of Physics: Conference Series 423 (2013) 012021, 2013 The stochastic volatility model is one of volatility models which infer latent volatility of asset returns. The Bayesian inference of the stochastic volatility (SV) model is performed by the hybrid Monte Carlo (HMC) algorithm which is superior to other Markov Chain Monte Carlo methods in sampling volatility variables.
arxiv +1 more source
Dealing with Stochastic Volatility in Time Series Using the R Package stochvol [PDF]
, 2016 The R package stochvol provides a fully Bayesian implementation of heteroskedasticity modeling within the framework of stochastic volatility. It utilizes Markov chain Monte Carlo (MCMC) samplers to conduct inference by obtaining draws from the posterior ...
G. Kastner
semanticscholar +1 more source
Predictability of European winter 2020/2021: Influence of a mid‐winter sudden stratospheric warming
Atmospheric Science Letters, Volume 23, Issue 12, December 2022., 2022 Boreal winter 2020/2021 was characterised by a negative North Atlantic Oscillation (NAO) pressure pattern, yet the signals from the ensemble mean of many seasonal forecast systems were for a positive NAO. In this letter we focus on the GloSea5 seasonal forecast system and investigate if there is any evidence for forecast error, or whether the ...
Julia F. Lockwood +18 more
wiley +1 more source
Pricing Collar Options with Stochastic Volatility
Discrete Dynamics in Nature and Society, 2017 This paper studies collar options in a stochastic volatility economy. The underlying asset price is assumed to follow a continuous geometric Brownian motion with stochastic volatility driven by a mean-reverting process.
Pengshi Li, Jianhui Yang
doaj +1 more source
Numerical Simulation of the Heston Model under Stochastic Correlation
International Journal of Financial Studies, 2017 Stochastic correlation models have become increasingly important in financial markets. In order to be able to price vanilla options in stochastic volatility and correlation models, in this work, we study the extension of the Heston model by imposing ...
Long Teng +2 more
doaj +1 more source