Results 141 to 150 of about 116,745 (301)
On cross-currency models with stochastic volatility and correlated interest rates [PDF]
We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We frst deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates ...
Grzelak, Lech, Oosterlee, Kees
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Testing the Marketing Performance of German Wheat Farmers
Agribusiness, EarlyView.ABSTRACT This paper analyses the marketing performance of wheat farmers in Germany. Wheat sales data from 465 individual farms over a 12‐year period are used to test against different market benchmarks. Market benchmarks are constructed by simulating passive trading agents using regional wheat prices.
Franziska Potts, Jens‐Peter Loy
wiley +1 more source
Simulated maximum likelihood for general stochastic volatility models: a change of variable approach [PDF]
Maximum likelihood has proved to be a valuable tool for fitting the log-normal stochastic volatility model to financial returns time series. Using a sequential change of variable framework, we are able to cast more general stochastic volatility models ...
Kleppe, Tore Selland, Skaug, Hans J.
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Does a Specialized Niche Market Vegetable Processor Enjoy Bargaining Power?
Agribusiness, EarlyView.ABSTRACT Agribusiness companies may achieve competitive advantage through specialization within niche markets. One such niche is the fresh‐cut fruit and vegetable market, which has been steadily growing in Germany. This study examines whether the specialization of a German fresh‐cut producer grants it with market power within this niche market.
Nikolas Bublik +3 more
wiley +1 more source
GARCH-PDE models for option pricing under stochastic volatility and their finite difference solvers
Journal of Finance and Data ScienceThis 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
ICA and stochastic volatility models
, 2016 PLENARY ...
Taskinen Sara +4 more
openaire +4 more sources
Cost Pass‐Through in Crisis: Evidence From the German Malt‐Beer Supply Chain
Agribusiness, EarlyView.Abstract Global agri‐food supply chains are increasingly exposed to geopolitical shocks, climate volatility, and market consolidation, factors that disrupt traditional price relationships and reshape market power dynamics. Nowhere is this more visible than in the brewing sector, where agricultural raw materials meet complex industrial processing and ...
Nikolas Bublik, Lukáš Čechura
wiley +1 more source
TEOREMA FUNGSI INVERS DAN APLIKASINYA DALAM ESTIMASI VOLATILITAS MODEL STOKASTIK
E-Jurnal MatematikaThe Inverse Function Theorem plays a fundamental role in various areas of applied mathematics, particularly in stochastic analysis and financial modeling.
NILMA SARI, FAIHATUZ ZUHAIROH
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Advanced Intelligent Discovery, EarlyView.Automated procedural analysis is recognized as one of the major game changers for robotic surgery. Meaning digital analysis needs to replace the manual assessments that set todays standard. Mechanical robotic‐instrument tracking enables the derivation of quantitative kinematic metrics that support behavior‐based workflow segmentation into distinct ...
Kateryna Pirkovets +4 more
wiley +1 more source
Frontiers in Applied Mathematics and StatisticsIn this paper, we explore the applications of fractional stochastic volatility (FSV) models within the realm of market microstructure theory and optimal execution strategies. FSV models extend traditional stochastic volatility frameworks by incorporating
Abe Webb
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