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A Stochastic Variance-Covariance Process with Jumps . 48

A stochastic  toxoplasmosis spread model between cat and oocyst  with jumps process

A stochastic toxoplasmosis spread model between cat and oocyst with jumps process

... using stochastic models can provide an additional degree of realism in comparison to their deterministic ...independent stochastic perturbations and a jump process is proposed, the existence of ...

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News Arrivals, Jumps and Variance in Stock Markets

News Arrivals, Jumps and Variance in Stock Markets

... to jumps in Nordic markets? If so, what characteristics of jump sizes that associate with announcements? For Nordic scheduled and non-scheduled firm-level announcements, clear impacts of scheduled announcements on ...

128

MEAN-VARIANCE HEDGING WITH RANDOM VOLATILITY JUMPS

MEAN-VARIANCE HEDGING WITH RANDOM VOLATILITY JUMPS

... mean- variance optimal martingale ...sion process (such as in the Heston or Hull and White models, only to mention two of them), this result was already obtained by Laurent and Pham with stochastic ...

22

Distance covariance for stochastic processes

Distance covariance for stochastic processes

... Clearly, this condition is hard to check and therefore we try to get a more compact equivalent condition which can also be used for some statistical test of independence between X and Y . For this reason, we consider a ...

14

Estimating Correlated Jumps and Stochastic Volatilities

Estimating Correlated Jumps and Stochastic Volatilities

... Model 4 (2SV) -24 068 -24 228 160 Table 10. Deviance information criterion of the four estimated bivariate models VaR Estimations We are going to show VaR estimations given by the four tested models and by a benchmark ...

36

A Kernel Technique for Forecasting the Variance-Covariance Matrix

A Kernel Technique for Forecasting the Variance-Covariance Matrix

... not attracted much attention in the empirical literature and it is suggested that its merits should be reevaluated. A number of issues for further research are beyond the scope of this paper. While we evaluated forecast ...

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Stochastic nonautonomous Gompertz model with Lévy jumps

Stochastic nonautonomous Gompertz model with Lévy jumps

... the stochastic Gompertz model perturbed by Brownian motion has been studied extensively by many authors, and there is a great amount of literature on this topic; see, for example, ...a stochastic Gompertz ...

21

On a class of stochastic models with two-sided jumps

On a class of stochastic models with two-sided jumps

... a stochastic process involving two-sided jumps and a con- tinuous downward drift is ...surplus process of a business enterprise which is subject to constant expense rate over time along with ...

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Parameter inference for multivariate stochastic processes with jumps

Parameter inference for multivariate stochastic processes with jumps

... Our framework has important computational features. The transition density can be evaluated at any value of the parameter and arguments of the density function without re-simulation. A single set of Monte Carlo ...

199

Stochastic control for mean-field Stochastic Partial Differential Equations with jumps

Stochastic control for mean-field Stochastic Partial Differential Equations with jumps

... mean-field stochastic partial differen- tial equations (stochastic evolution equations) driven by a Brownian motion and an independent Poisson random measure, in the case of partial information ...state ...

26

Stochastic Variance-Reduced Policy Gradient

Stochastic Variance-Reduced Policy Gradient

... lem considered in the paper has a series of difficulties that are not common in SL. Among them, non-concavity and approximate estimates of the FG have been analysed inde- pendently in SL (e.g., Allen-Zhu & Hazan , ...

24

On neutral impulsive stochastic differential equations with Poisson jumps

On neutral impulsive stochastic differential equations with Poisson jumps

... Keywords: Stochastic differential equations; Contraction mapping; Continuous dependence exponential stability; Poisson process; Impulsive system 1 Introduction Stochastic differential equations have ...

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APPROXIMATION TO THE COVARIANCE MATRIX FOR STOCHASTIC POINT KINETICS

APPROXIMATION TO THE COVARIANCE MATRIX FOR STOCHASTIC POINT KINETICS

... the variance matrix and a vector of independent Brownian ...same covariance matrix but using the EM (Euler- Maruyama) method and the T ...the covariance matrix- a Markov process is assumed to ...

8

CreditGrades Framework within Stochastic Covariance Models

CreditGrades Framework within Stochastic Covariance Models

... defaults, stochastic interest rates, stochastic default barriers and jumps in the asset’s price ...using stochastic covariance Wishart process focusing on the role of ...

12

The Gumbel test and jumps in the volatility process

The Gumbel test and jumps in the volatility process

... of jumps in stochastic volatility models based on high-frequency data has attained much attention, since this is an important task for modeling, risk assessment and statistical inference of the integrated ...

19

Pricing variance swaps under stochastic volatility and stochastic interest rate

Pricing variance swaps under stochastic volatility and stochastic interest rate

... pricing variance swaps with stochastic volatility and stochastic interest rate under the Heston-CIR ...other stochastic processes to represent the dynamics of factors driving the ...random ...

127

About Stochastic Calculus in Presence of Jumps at Predictable Stopping Times

About Stochastic Calculus in Presence of Jumps at Predictable Stopping Times

... the process h ∗ π is a ...the jumps at totally inaccessible s.t.’s, that is the process generating the measure µ has not the jumps at predictable ...

14

Essays in finance: wrong-way risk, jumps and stochastic volatility

Essays in finance: wrong-way risk, jumps and stochastic volatility

... realized variance of the market portfolio. We compute the daily variance of the market portfolio using an EGARCH(1,1) 5 model on daily ...integrated variance is the sum ...

114

Weak order in averaging principle for stochastic differential equations with jumps

Weak order in averaging principle for stochastic differential equations with jumps

... equation, difficulties arise, and the procedure becomes more complicated. Our result in this paper bridges such a gap, in which the slow and fast motions are both perturbed by noise with jumps. The rest of the paper ...

20

Corporate credit risk prediction under stochastic volatility and jumps

Corporate credit risk prediction under stochastic volatility and jumps

... consider jumps and examining the impact of allowing for both stochastic volatility and jumps in a structural model on corporate credit risk ...recognizing stochastic volatility and ...

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