Results 11 to 20 of about 11,771,558 (147)
The Variance Gamma++ process and applications to energy markets [PDF]
, 2022 The purpose of this article is to introduce a new Lévy process, termed the Variance Gamma++ process, to model the dynamics of assets in illiquid markets. Such a process has the mathematical tractability of the Variance Gamma process and is obtained
Gardini M., Sabino P., Sasso E.
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Some Probability Characteristics of the Solution of Stochastic Fredholm Integral Equation Contains a Joint Gamma Process [PDF]
Engineering and Technology Journal, 2014 In this paper, some probability characteristics functions (probability density and spectral density) are derived depending upon the smallest variance of the stochastic solution of supposing stochastic linear Fredholm integral equation of the second kind ...
Mohammad W. Muflih +2 more
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Pricing Embedded Options Using Fast Fourier Transform to Compare Variance Gamma and Black-Scholes-Merton Model Efficiency [PDF]
Iranian Journal of FinanceEmbedded options are virtually new instruments identical to options in many aspects except their non-tradable nature. Testing the efficiency of the Variance Gamma and Black-Scholes-Merton model on these instruments would provide a vision of transitioning
Alireza Barati, Maryam Khalili Araghi
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Gamma oscillations in visual statistical learning correlate with individual behavioral differences
Frontiers in Behavioral Neuroscience, 2023 Statistical learning is assumed to be a fundamentally general sensory process across modalities, age, other cognitive functions, and even species.
Szabolcs Sáringer +3 more
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A stochastic corrosion model for structural steels subject to sea waters [PDF]
مجله مدل سازی در مهندسی, 2018 In order to perform reliability analysis of steel structures subject to sea waters and thus to corroding marine environments, it is necessary to use: a) a model describing physical behavior of corrosion in structures placed in these circumstances and b ...
Mohammad Reza Moarefzadeh
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Frontiers in Neuroscience, 2022 The brain integrates streams of sensory input and builds accurate predictions, while arriving at stable percepts under disparate time scales. This stochastic process bears different unfolding dynamics for different people, yet statistical learning (SL ...
Anna Vaskevich +3 more
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Stylized Model of Lévy Process in Risk Estimation
Mathematics, 2023 Risk management is a popular and important problem in academia and industry. From a small-scale system, such as city logistics, to a large-scale system, such as the supply chain of a global industrial or financial system, efficient risk management is ...
Xin Yun +4 more
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A Note on Estimation for the First Order Autoregressive Process [PDF]
The Egyptian Statistical Journal, 1987 The asymptotic estimation of the parameters of the first order stationary autoregressive process with zero mean is investigated. The exact and the asymptotic Bayes esti- mates of the weight and the error variance parameters are derived for different ...
A.M. Abouammoh, A.A. Abd-Alla
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Spatiotemporal dynamics of human high gamma discriminate naturalistic behavioral states.
PLoS Computational Biology, 2022 In analyzing the neural correlates of naturalistic and unstructured behaviors, features of neural activity that are ignored in a trial-based experimental paradigm can be more fully studied and investigated.
Abdulwahab Alasfour +14 more
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Pricing with Variance Gamma Information
Risks, 2020 In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {Ft}t≥0 is generated by an information process {ξt}t≥0 defined in such a way that at some fixed time T an FT-measurable random variable XT is “revealed”.
Lane P. Hughston +1 more
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