Results 51 to 60 of about 1,548,082 (284)
On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model
Risks, 2023 This paper discusses the generalized Black-Scholes-Merton model, where the volatility coefficient, the drift coefficient of stocks, and the interest rate are time-dependent deterministic functions.
Roman V. Ivanov
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Asymptotic Normality in Linear Regression with Approximately Sparse Structure
Mathematics, 2022 In this paper, we study the asymptotic normality in high-dimensional linear regression. We focus on the case where the covariance matrix of the regression variables has a KMS structure, in asymptotic settings where the number of predictors, p, is ...
Saulius Jokubaitis, Remigijus Leipus
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Likelihood-based risk estimation for variance-gamma models [PDF]
Statistical Methods & Applications, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bee, Marco +2 more
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The Downside and Upside Beta Valuation in the Variance-Gamma Model
International Journal of Analysis and Applications, 2021 The paper is aimed to assess the risks and gains of investment portfolio which relate to the impact of a particular asset. We consider the investment portfolios which consist of assets with variance-gamma, gamma distributed and deterministic returns. The
Roman V. Ivanov
doaj
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES [PDF]
Mathematical Finance, 2014 In some options markets (e.g., commodities), options are listed with only a single maturity for each underlying. In others (e.g., equities, currencies), options are listed with multiple maturities. In this paper, we analyze a special class of pure jump Markov martingale models and provide an algorithm for calibrating such models to match the market ...
Carr, Peter, Nadtochiy, Sergey
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Reconstructing enzyme evolution by protein engineering
FEBS Letters, EarlyView.Natural enzyme evolution can be retraced by protein engineering methods such as directed evolution, rational design, and ancestral sequence reconstruction. These approaches reveal how enzymes emerged from ligand‐binding scaffolds, developed varying substrate preferences, formed oligomeric complexes, adapted to environmental changes, and evolved novel ...
Lukas Drexler +2 more
wiley +1 more source
Multivariate Downside Risk: Normal Versus Variance Gamma [PDF]
Journal of Futures Markets, 2010 Although several types of options on multiple assets are popular in today's financial markets, valuing multi-asset options is still a challenge in finance. The standard framework of multivariate normality is often inappropriate, since it ignores fat tails and other stylized facts of asset returns. The Variance Gamma (VG) model appears to be a promising
Martin Wallmeier, Martin Diethelm
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Conserved binding mode but diverse interfaces of MreC‐PBP2 interactions
FEBS Letters, EarlyView.The crystal structure of abMreC reveals a conserved two β‐barrel architecture and provides structural insights into its role within the bacterial elongasome. The abMreC–abPBP2 complex model identifies the molecular basis of MreC‐mediated PBP2 recognition, contributing to the regulation of peptidoglycan synthesis.
Hyunseok Jang +4 more
wiley +1 more source
Engineering peptides into antibodies—opportunities and strategies for therapeutic innovation
FEBS Letters, EarlyView.Peptides and antibodies occupy complementary therapeutic niches. Peptides recognize difficult targets in a compact format, while antibodies add specificity, long half‐life, and effector functions. This review examines strategies that merge both modalities—peptide grafting into loops, terminal and Fc fusions, and bioconjugation—highlighting how ...
Jinling Wang +2 more
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Optimal Variance Swaps Portfolios and Estimating Greeks for Variance-Gamma [PDF]
, 2011 In this dissertation, we investigate two problems: constructing optimal variance swaps portfolios and estimating Greeks for options with underlying assets following a Variance Gamma process.
Cao, Lingyan
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