Diffusion Models
Pricing Options in Jump Diffusion Models Using Mellin Transforms
... The application of Mellin transforms for the purpose of option pricing was firstly introduced in [16] in the geometric Brownian motion economy. It was extended to the stochastic volatility model of Heston by Frontczak ...
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Realized Range-based Threshold Estimation for Jump-diffusion Models
... T HE volatility of asset price plays a central role in both the theoretical and empirical finance literature (see [1], [2], [3], among others). It is one of the most important deter- minants of market decision, such as ...
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Latent diffusion models for survival analysis
... Diffusion models for survival analysis have been proposed because, as summarized in Aalen and Gjessing (2004), “when modelling survival data it may be of interest to imagine an underly- ing process leading ...
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Latent diffusion models for event history analysis
... use diffusion processes as building blocks for the definition of models for event history ...the diffusion models used, by adopting powerful Markov Chain Monte Carlo ...
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Semiparametric estimation of diffusion models with applications in finance
... single-factor models of th e short-term interest ...structure models assumes th a t th e short-term interest rate is a Markov process solving a SDE, in which case this state variable drives the whole yield ...
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Diffusion models of multicomponent mixtures in the lung*
... Abstract. In this work, we are interested in two different diffusion models for multicomponent mix- tures. We numerically recover experimental results underlining the inadequacy of the usual Fick diffu- ...
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The Role of Seeding in Multi Stage vs Two Stage Diffusion Models
... the diffusion process is binary and a cus- tomer can be either a potential customer or an actual adopter is included in their ...in diffusion of innovation ...process models, because the [28] assump- ...
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New Parabolic Inequalities and Applications to Thermal Explosion and Diffusion Models
... Thus known theory of parabolic inequalities is developed further by obtaining new comparison principles for single equations as well as for parabolic systems and showing their applications for thermal explosion and ...
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Application of Fickian and non Fickian diffusion models to study moisture diffusion in asphalt mastics
... Following the threshold analysis, the aggregate particle size distribution with depth was estimated by counting the number of particles satisfying the grayscale criteria described previously. The results are presented in ...
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Fractional diffusion models of option prices in markets with jumps
... Examples where it has been assumed that share prices follow jump processes include: the early work of Press Ref. [28]; Merton’s Jump Diffusion model Ref. [23]; and the work of Mantegna and Stanley, see Refs. [20, ...
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Switching and diffusion models for gene regulation networks
... Although progress is being made on solving the CME [23] and on optimizing Gillespie’s direct simulation method [9, 15], the fully discrete CME setting re- mains computationally infeasible for most realistic systems. ...
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Asymptotic solutions of diffusion models for risk reserves
... diffusion models for risk reserves which account for the in- vestment income earned and for the inflation experienced on claim ...diffusion models (possibly degenerate) governing the conditional probability of ...
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Badly behaved detrital (U Th)/He ages: problems with He diffusion models or geological models?
... It is also important to note that there may be cases where all detrital ages can be predicted within error simply by increasing the number of source areas (Fillon et al., 2013). This has important implications for ...
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Combined Electromagnetic and Drift Diffusion Models for Microwave Semiconductor Device
... In this paper, the semiconductor analysis is based on the time-domain drift-diffusion model (DDM) in conjunc- tion with electromagnetic model (Maxwell’s equations) [1,2]. Where the active device model (AD model) ...
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Diffusion models in strongly chaotic Hamiltonian systems
... An interesting problem that remains is what is the essential difference that makes a map satisfying the conditions o f linearity or periodicity o f the force functions (th at is a map on the torus ) have corrections to ...
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VaR Optimal Risk Management in Regime Switching Jump Diffusion Models
... In this paper we study a classical hedging policy based on options followed by an institutional manager whose aim is to minimize the Value-at-Risk of a position in a regime-switching jump-diffusion market. ...
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Evaluation of diffusion models in breast cancer.
... IVIM models in both tumor and normal breast ...Median diffusion coefficients calculated using all three models show significant differences between tumor and normal breast ...
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3D Electromagnetic Diffusion Models for Reverberant Environments
... where ( ) is the average power absorption efficiency of the surface. This can be determined from the reflection coefficient of the surface by averaging the flux of the normal component of the Poynting vector over the ...
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Drift–diffusion models for multiple-alternative forced-choice decision making
... The DDM is one of the most-used models for fitting data from two-alternative forced- choice decision-making experiments. In fact it provides fits to decision accuracy and re- action time in a wide array of tasks, ...
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Rapid priming, accumulation, and recharge of magma driving recent eruptions at a hyperactive caldera volcano
... Fe-Mg diffusion models (right) of zoned orthopyroxene from Unit ...where diffusion modeling was ...(Av) diffusion model timescales given for parameter estimates of 860 °C, ...
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