Results 61 to 70 of about 22,447 (299)

Deep Stochastic Volatility Model

CoRR, 2021
Volatility for financial assets returns can be used to gauge the risk for financial market. We propose a deep stochastic volatility model (DSVM) based on the framework of deep latent variable models. It uses flexible deep learning models to automatically detect the dependence of the future volatility on past returns, past volatilities and the ...
Xiuqin Xu, Ying Chen
openaire   +2 more sources

All‐Optical Reconfigurable Physical Unclonable Function for Sustainable Security

Advanced Materials, EarlyView.
An all‐optical reconfigurable physical unclonable function (PUF) is demonstrated using plasmonic coupling–induced sintering of optically trapped gold nanoparticles, where Brownian motion serves as a robust entropy source. The resulting optical PUF exhibits high encoding density, strong resistance to modeling attacks, and practical authentication ...
Jang‐Kyun Kwak, Changgyun Moon, Hyun‐Bin Yu, Sunkook Kim, Dong‐Hwan Kim   +4 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

Neuromorphic Electronics for Intelligence Everywhere: Emerging Devices, Flexible Platforms, and Scalable System Architectures

Advanced Materials, EarlyView.
The perspective presents an integrated view of neuromorphic technologies, from device physics to real‐time applicability, while highlighting the necessity of full‐stack co‐optimization. By outlining practical hardware‐level strategies to exploit device behavior and mitigate non‐idealities, it shows pathways for building efficient, scalable, and ...
Kapil Bhardwaj, Roshni Satheesh Babu, Yuxin Xia, Eva Bestelink, Radu Sporea, Nikos Hastas, Ioannis Zeimpekis, Dimitra G. Georgiadou, Sayani Majumdar   +8 more
wiley   +1 more source

An Intertemporal CAPM with Stochastic Volatility [PDF]

SSRN Electronic Journal, 2012
This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who is content to hold the aggregate equity market rather than overweighting value stocks and other equity portfolios that are attractive to short-term investors. We show that a conservative long-term investor will avoid such overweights in
Campbell, John Y, Giglio, Stefano W, Polk, Christopher, Turley, Robert   +3 more
openaire   +2 more sources

Weaving Intelligence: Thermally Drawn Multimaterial Fibers Toward AI‐Enabled Smart Textiles

Advanced Materials, EarlyView.
Thermally drawn multimaterial fibers are rapidly advancing as intelligent structural units for next‐generation smart textiles. Integrating multimaterial architectures with neuromorphic and spiking‐neural‐network principles enables fabrics that can sense, compute, and adapt autonomously.
Vuong Dinh Trung, Jiaxiang Yi, Hieu Nguyen‐Duc, Tien Nu Hoang Lo, Weili Zhao, Chaoqun Dong, Fabien Sorin, Baris Caglar, Lei Wei, Tung Nguyen‐Dang   +9 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

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

Designable van der Waals Crystal for Artificial Neuronal Cell Mimicking

Advanced Materials, EarlyView.
Designable van der Waals crystal has been demonstrated for device‐scale neuronal cell mimicking. The structural similarity between ion‐channel in biological membranes and layered vdW lattices is realized with nano‐crystallization via Ar + H2S plasma sulfurization.
Jinhyoung Lee, Gunhyoung Kim, Dongho Lee, Seowoo Son, Hyunho Seok, Sihoon Son, Hyunbin Choi, Geonwook Kim, Geumji Back, Hyunkyu Kim, Chaerin Park, Junmin Ahn, Seongyun Je, Chaeyoung Im, Junil Cho, Magdalena Grzeszczyk, Seongho Kim, Eunseo Go, Hyunwoo Shim, Donghwan Choi, Muyoung Kim, Hyoeng‐U. Kim, Won‐Jun Jang, Taesung Kim   +23 more
wiley   +1 more source

The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options

Journal of Inequalities and Applications, 2019
Stochastic volatility models play an important role in finance modeling. Under a mixed fractional Brownian motion environment, we study the continuity and estimates of a solution to a kind of stochastic differential equations with double volatility terms.
Yan Dong
doaj   +1 more source