Results 71 to 80 of about 129,146 (344)
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
, 2020 We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochastic local volatility. First, we handle a case in which the drift is given as difference of two stochastic short rates. Such a setting is natural in foreign
Ogetbil, Orcan
core
Stochastic Volatility of Volatility in Continuous Time
SSRN Electronic Journal, 2009 This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data.
Barndorff-Nielsen, Ole, Veraart, Almut
openaire +2 more sources
Advanced Materials, EarlyView.Sodium Metal All‐Solid State Batteries (Na‐ASSBs) are enabled by the synthesis of the solid state electrolyte, NASICON (Na1+xZr2SixP3‐xO12), using carbide‐based precursor compounds (ZrC and SiC); resulting in dense, pure, and mechanically improved microstructure.
Callum J. Campbell +10 more
wiley +1 more source
Forecasting volatility: does continuous time do better than discrete time? [PDF]
In this paper we compare the forecast performance of continuous and discrete-time volatility models. In discrete time, we consider more than ten GARCH-type models and an asymmetric autoregressive stochastic volatility model.
Carles Bretó, Helena Veiga
core
Organic Electrochemical Transistors for Neuromorphic Devices and Applications
Advanced Materials, EarlyView.Organic electrochemical transistors are emerging as promising platforms for neuromorphic devices that emulate neuronal and synaptic activities and can seamlessly integrate with biological systems. This review focuses on resultant organic artificial neurons, synapses, and integrated devices, with an emphasis on their ability to perform neuromorphic ...
Kexin Xiang +4 more
wiley +1 more source
"Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio" [PDF]
In this paper, we aim at forecasting the stochastic volatility of key financial market variables with the Kalman filter using stochastic models developed by Taylor (1986,1994) and Nelson (1990).
Racicot, François-Éric +1 more
core +4 more sources
A Neural Stochastic Volatility Model
, 2018 In this paper, we show that the recent integration of statistical models with deep recurrent neural networks provides a new way of formulating volatility (the degree of variation of time series) models that have been widely used in time series analysis ...
Luo, Rui +3 more
core +1 more source
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
, 2011 We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility.
Bayraktar, Erhan +2 more
core +1 more source
Recent Advances in Collective Behaviors of Micro/Nanomotor Swarms
Advanced Materials, EarlyView.This review describes the driving forces behind collective motion, explores the self‐organization of micro/nano swarms across zero‐dimensional (0D), one‐dimensional (1D), two‐dimensional (2D), and three‐dimensional (3D) spaces, and highlights their potential in drug delivery, environmental monitoring, and smart devices.
Siwen Sun +4 more
wiley +1 more source
Strategies for Enhancing Thermal Conductivity of PDMS in Electronic Applications
Advanced Materials Technologies, EarlyView.This review explores effective strategies for enhancing heat dissipation in Polydimethylsiloxane (PDMS)‐based composites, focusing on particle optimization, 3D network design, and multifunctional integration. It offers key insights into cutting‐edge methods and simulations that are advancing thermal management in modern electronic devices.
Xiang Yan, Marisol Martin‐Gonzalez
wiley +1 more source