Results 131 to 140 of about 116,745 (301)
Filtering and identification of stochastic volatility for parabolic type factor models [PDF]
, 2006 We consider the dynamics of forward rate process which is modeled by a parabolic type infinite-dimensional factor model with stochastic volatility. The parameters included in the stochastic volatility dynamics are estimated from the factor process as the
Aihara, ShinIchi, Bagchi, Arunabha
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Advanced Electronic Materials, EarlyView.In this work, low‐resolution infrared imaging is combined with a 28 nm FeFET IMC architecture to enable compact, energy‐efficient edge inference. MLC FeFET devices are experimentally characterized, and controlled multi‐level current accumulation is validated at crossbar array level.
Alptekin Vardar +9 more
wiley +1 more source
An extension of Heston's SV model to Stochastic Interest Rates
, 2018 In 'A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options', Heston proposes a Stochastic Volatility (SV) model with constant interest rate and derives a semi-explicit valuation formula.
de Frutos, Javier, Gaton, Victor
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On the Role of Preprocessing and Memristor Dynamics in Reservoir Computing for Image Classification
Advanced Electronic Materials, EarlyView.ABSTRACT Reservoir computing (RC) is an emerging recurrent neural network architecture that has attracted growing attention for its low training cost and modest hardware requirements. Memristor‐based circuits are particularly promising for RC, as their intrinsic dynamics can reduce network size and parameter overhead in tasks such as time‐series ...
Rishona Daniels +4 more
wiley +1 more source
Statistical modelling of financial crashes: Rapid growth, illusion of certainty and contagion [PDF]
We develop a rational expectations model of financial bubbles and study ways in which a generic risk-return interplay is incorporated into prices. We retain the interpretation of the leading Johansen-Ledoit-Sornette model, namely, that the price must ...
Fry, J. M.
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Enhanced Resistive Switching Uniformity in Tantalum Oxide Memristor Devices via Copper Implantation
Advanced Electronic Materials, EarlyView.Metal oxide memristor devices typically suffer from uncontrolled forming processes and limited resistive switching uniformity due to the stochastic formation of an oxygen vacancy filament. Improved resistive switching uniformity in Ta2O5 memristor is developed by Cu implantation in the switching oxide.
Shaochuan Chen, Ilia Valov
wiley +1 more source
Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market [PDF]
This paper investigates the pricing bias in the Swedish OMX-Index Option market and how a stochastic volatility affects European call option prices. The market is purely European and without dividends for the period studied. A CIR square-root process for
Byström , Hans
core
Applied Economic Perspectives and Policy, EarlyView.ABSTRACT Increased frequency of extreme weather events, particularly droughts, threatens grassland farming by destabilizing yields and farms' economic viability. We examine, theoretically and through numerical simulations, how sown plant diversity (natural insurance) influences the attractiveness of indemnity and drought index insurance (formal ...
Nicolas Alou +3 more
wiley +1 more source
Agribusiness, EarlyView.ABSTRACT EU member states have exhibited varying rates of apple production growth. Technical efficiency (TE) estimation is suitable for identifying best‐practice farm performance. This study examined whether the development of the apple sector in Germany, Italy, and Poland was influenced by production efficiency, access to technology, as well as ...
Anika Muder, Jakub Staniszewski
wiley +1 more source
Stochastic autoregressive volatility model for exchange rates [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2008 A discrete time model for asset price changes is considered. The volatility process underlying these changes is modeled as a first-order Gaussian autoregressive series.
Nittaya McNeil +2 more
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