Results 81 to 90 of about 116,745 (301)

Estimation of integrated volatility in stochastic volatility models [PDF]

Applied Stochastic Models in Business and Industry, 2005
In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log-returns). We derive consistency and distributional results for the estimators given high-frequency data, especially taking into account what kind of process we may add to ...
openaire   +2 more sources

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

A Complete Stochastic Volatility Model in the HJM Framework [PDF]

This paper considers a stochastic volatility version of the Heath, Jarrow and Morton (1992) term structure model. Market completeness is obtained by adapting the Hobson and Rogers (1998) complete stochastic volatility stock market model to the interest ...
Carl Chiarella, Oh-Kang Kwon
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

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, Wang, Jun, Xu, Xiaojun, Zhang, Weinan   +3 more
core   +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

An Asymptotic Expansion with Push-Down of Malliavin Weights [PDF]

This paper derives asymptotic expansion formulas for option prices and implied volatilities as well as the density of the underlying asset price in multi-dimensional stochastic volatility models.
Akihiko Takahashi, Toshihiro Yamada
core   +3 more sources

Turbo Warrants under Hybrid Stochastic and Local Volatility

Abstract and Applied Analysis, 2014
This paper considers the pricing of turbo warrants under a hybrid stochastic and local volatility model. The model consists of the constant elasticity of variance model incorporated by a fast fluctuating Ornstein-Uhlenbeck process for stochastic ...
Min-Ku Lee, Ji-Hun Yoon, Jeong-Hoon Kim, Sun-Hwa Cho   +3 more
doaj   +1 more source

Linear stochastic volatility models [PDF]

, 2009
In this paper we investigate general linear stochastic volatility models with correlated Brownian noises. In such models the asset price satisfies a linear SDE with coefficient of linearity being the volatility process. This class contains among others Black-Scholes model, a log-normal stochastic volatility model and Heston stochastic volatility model.
Jacek Jakubowski, Maciej Wisniewolski
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