Results 81 to 90 of about 1,307,477 (404)

Multiple time scales and the empirical models for stochastic volatility [PDF]

, 2006
The most common stochastic volatility models such as the Ornstein-Uhlenbeck (OU), the Heston, the exponential OU (ExpOU) and Hull-White models define volatility as a Markovian process.
Brosa, Buchbinder, Cizeau, Cont, Dragulescu, Fouque, Fouque, Friedrich, G.L. Buchbinder, Gabaix, Gabaix, Gardiner, Heston, Hull, K.M. Chistilin, Liu, Mantegna, Masoliver, Micciche, Perello, Perello, Perello, Perello, Remer, Renner, Risken, Scott, Silva, Silva, Stein, Vicente, Wilmott, Yamasaki   +32 more
core   +2 more sources

CEV MODEL WITH STOCHASTIC VOLATILITY

Journal of Vasyl Stefanyk Precarpathian National University, 2019
This paper develops a systematic method for calculating approximate prices for a wide range of securities implying the tools of spectral analysis, singular and regular perturbation theory. Price options depend on stochastic volatility, which may be multiscale, in the sense that it may be driven by one fast-varying and one slow-varying factor. The found
BURTNYAK, IVAN, MALYTSKA, ANNA
openaire   +4 more sources

Organic Ferroelectric Synaptic Transistors for Neural Image Recognition Networks

Advanced Materials Interfaces, EarlyView.
All organic transistors, where both the dielectric and semiconducting layers are polymeric, are developed as electrical synaptic devices. Two copolymers of PVDF as the dielectric layer with large differences in their saturation polarizability and memory window are chosen.
Evan Restuccia, Arash Ghobadi, Suchismita Guha   +2 more
wiley   +1 more source

Research Progress on Atmospheric Turbulence Perception and Correction Based on Adaptive Optics and Deep Learning

Advanced Photonics Research, EarlyView.
This work presents a systematic review of atmospheric turbulence fundamentals, including theoretical formulations and adaptive optics‐based mitigation strategies. This includes an in‐depth examination of the devices, theories, and methodologies associated with traditional correction approaches.
Qinghui Liu, Yihang Di, Mengmeng Zhang, Zhenbo Ren, Jianglei Di, Jianlin Zhao   +5 more
wiley   +1 more source

Revising immune cell coordination: Origins and importance of single‐cell variation

European Journal of Immunology, Volume 52, Issue 12, Page 1889-1897, December 2022., 2022
Single immune cell coordination relies on heterogeneous cellular decision‐making subject to noise, stochastic inputs, and deterministic cell fates. To coordinate collective, population‐wide immune responses, single immune cells are part of complex signaling networks, in which cells rely on various communication strategies.
Laura C. Van Eyndhoven, Jurjen Tel
wiley   +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

Toward Sustainable Photocatalysis: Addressing Deactivation and Environmental Impact of Anodized and Sol–Gel Photocatalysts

Advanced Sustainable Systems, EarlyView.
A life‐cycle evaluation of TiO2 photocatalysts for water purification compares the effectiveness of Sol–Gel vs anodic oxides in tetracycline mineralization, targeting deactivation, regeneration, and environmental impact from a cradle‐to‐grave perspective.
Maria Vittoria Diamanti, Manjunath V. Shinnur, MariaPia Pedeferri, Anna Maria Ferrari, Roberto Rosa, Daniela Meroni   +5 more
wiley   +1 more source

Ultra‐thin ISFET‐based sensing systems

Electrochemical Science Advances, Volume 2, Issue 6, December 2022., 2022
Abstract The ion‐sensitive field effect transistors (ISFETs), proposed little over 50 years ago, today make the most promising devices for lab‐on‐a‐chip, implantable, and point‐of‐care (POC) diagnostics. Their compatibility with CMOS (Complementary Metal Oxide Semiconductor) technology and the low cost through mass production have been the driving ...
Mahdieh Shojaei Baghini, Anastasios Vilouras, Matthew Douthwaite, Pantelis Georgiou, Ravinder Dahiya   +4 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 Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures [PDF]

, 2015
In this article, we look at the effect of volatility clustering on the risk indifference price of options described by Sircar and Sturm in their paper (Sircar, R., & Sturm, S. (2012). From smile asymptotics to market risk measures. Mathematical Finance. Advance online publication. doi:10.1111/mafi.12015).
arxiv   +1 more source