Results 81 to 90 of about 22,447 (299)

A Market Model for Stochastic Implied Volatility [PDF]

In this paper a stochastic volatility model is presented that directly prescribes the stochastic development of the implied Black-Scholes volatilities of a set of given standard options.
Schönbucher, Philpp J.
core  

Advances and Perspectives in Graphene‐Based Quantum Dots Enabled Neuromorphic Devices

Advanced Science, EarlyView.
Graphene‐based QDs are zero‐dimensional carbon nanomaterials with pronounced quantum confinement and tunable electronic structures. Herein, we summarize their synthesis strategies and functionalization methods, and highlight their functional roles and operating mechanisms in devices, as well as recent advances in neuromorphic electronics. We anticipate
Yulin Zhen, Wei Zeng, Zherui Zhao, JiYu Zhao, Ziyan Huang, Zhuo Chen, Kui Zhou, Guanglong Ding, Su‐Ting Han, Ye Zhou   +9 more
wiley   +1 more source

Asymptotic properties of GMM estimators of stochastic volatility. [PDF]

Estimator; Stochastic volatility; Volatility;
Vergote, Olivier, Dhaene, Geert
core  

Temperature‐Resilient Reconfigurable Physical Unclonable Function Driven by Pulse Modulation Using CMOS‐Integrated Spintronic Chips

Advanced Science, EarlyView.
A reconfigurable physical unclonable function is developed using CMOS‐integrated SOT‐MRAM chips, leveraging a dual‐pulse strategy and offering enhanced environmental robustness. A temperature‐compensation effect arising from the CMOS transistor and SOT‐MTJ is revealed and established as a key prerequisite for thermal resilience.
Min Wang, Chuanpeng Jiang, Zhaohao Wang, Zhengyi Hou, Zhongkui Zhang, Yuanfu Zhao, Hong‐xi Liu, Weisheng Zhao   +7 more
wiley   +1 more source

Stochastic volatility with leverage: fast likelihood inference [PDF]

Kim, Shephard and Chib (1998) provided a Bayesian analysis of stochastic volatility models based on a very fast and reliable Markov chain Monte Carlo (MCMC) algorithm.
Jouchi Nakajima, Neil Shephard, Siddhartha Chib, Yasuhiro Omori   +3 more
core   +2 more sources

GARCH-PDE models for option pricing under stochastic volatility and their finite difference solvers

Journal of Finance and Data Science
This paper presents numerical solvers for generative and hybrid option pricing models that unify econometric and diffusion-based approaches. These models are formulated as systems of continuous partial differential equations (PDEs), with stochastic ...
Qi Wang, Lu Zhang, Qian Zhang
doaj   +1 more source

Robust and Thermally Stable Silicone Aerogels with Hyperconnected Network via Kinetically Optimized Hyperbranched Silane Precursors

Advanced Science, EarlyView.
Reactivity‐Programmed Assembly: A kinetic‐control strategy is reported for constructing hyperconnected silicone aerogels with a robust “thick‐neck” architecture. By exploiting the reactivity disparity of precursors, flexible segments are uniformly embedded within a rigid skeleton.
Aoqing Yan, Guixiang Li, Yaolan Li, Yi Luo, Bin Liu, Zhe Su, Hao Tian, Wei Shi, Bo Niu, Donghui Long   +9 more
wiley   +1 more source

A Neural Stochastic Volatility Model

Proceedings of the AAAI Conference on Artificial Intelligence, 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 and prediction in finance.
Rui Luo 0001, Weinan Zhang 0001, Xiaojun Xu, Jun Wang 0012   +3 more
openaire   +2 more sources

WS2 Optoelectronic Memristive Reservoir Enabling Ultra‐Low‐Power, Multi‐Task, and Environmentally Stable Neuromorphic Computing

Advanced Science, EarlyView.
WS2‐based in‐memory sensing reservoir computing integrates sensing, memory, and computation in one compact device. It achieves ∼94% N‐MNIST, ∼93% eye motion perception, and ∼89% speech recognition with ultra‐low energy (∼25.5 fJ/spike). The system shows stability at 95% humidity, endurance over 1.5M cycles, and supports synaptic plasticity, enabling ...
Dayanand Kumar, Hanrui Li, Divyanshu Divyanshu, Dhananjay D. Kumbhar, Manoj Kumar Rajbhar, Amit Singh, Abdul Momin Syed, Selma Amara, Gianluca Setti, Nazek El‐Atab   +9 more
wiley   +1 more source

Pricing Parisian Option under a Stochastic Volatility Model

Journal of Applied Mathematics, 2014
We study the pricing of a Parisian option under a stochastic volatility model. Based on the manipulation problem that barrier options might create near barriers, the Parisian option has been designed as an extended barrier option. A stochastic volatility
Min-Ku Lee, Kyu-Hwan Jang
doaj   +1 more source