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Mean-reverting Process

A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations

A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations

... Empirical studies show that the most successful continuous-time models of the short- term rate in capturing the dynamics are those that allow the volatility of interest changes to be highly sensitive to the level of the ...

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Optimal inventory management and order book modeling *

Optimal inventory management and order book modeling *

... the mean-reverting process (driving the difference between the stock and the futures price) together with the reconstruction of the queues when prices move, and let the participants play their ...

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Quantitative Techniques for Spread Trading in Commodity Markets

Quantitative Techniques for Spread Trading in Commodity Markets

... factor mean-reverting Vasicek process to model the spread process, presented by Elliott et ...spread process, we propose to im- plement a jump, which is compound Poisson process, ...

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Recent Developments in Option Pricing

Recent Developments in Option Pricing

... sion process with stochastic volatility was studied by view- ing option pricing as a truncated moment of a lognormal ...a mean reverting process with sto- chastic volatility and jumps by using ...

9

Unemployment hysteresis, structural changes, non-linearities and fractional integration in European transition economies

Unemployment hysteresis, structural changes, non-linearities and fractional integration in European transition economies

... Finally, the existence of non-linearities is also accounted for, given that the unemployment rate’s speed of adjustment towards equilibrium may be dependent on the degree of misalignment (KSS). This implies that there ...

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A note on the current account sustainability of European transition economies

A note on the current account sustainability of European transition economies

... stationary process and the variable will be a mean reverting ...is mean reverting and stationary, the variable will not grow forever after a ...root process, or may even be ...

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Bayesian calibration and number of jump components in electricity spot price models

Bayesian calibration and number of jump components in electricity spot price models

... The complexity of electricity spot price models, and multi-factor models in particular, makes their analysis statistically challenging and has given rise to a substantial literature. A single- factor model including the ...

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Economic hysteresis effects and hitting time densities for CIR diffusions

Economic hysteresis effects and hitting time densities for CIR diffusions

... the mean-reverting effect is ...square-root mean-reverting process of Cox et ...no mean-reverting ...stochastic process with mean reversion, we will ...

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The viscosity solutions approach to swing options pricing under a regime switching mean reverting model

The viscosity solutions approach to swing options pricing under a regime switching mean reverting model

... In this paper, we study the valuation of swing options on electricity markets with local volume and refraction time constraints, under the setting that the dynamic of the underlying spot price is a 2-state ...

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Freight Derivatives Pricing for Decoupled Mean-Reverting Diffusion and Jumps

Freight Derivatives Pricing for Decoupled Mean-Reverting Diffusion and Jumps

... that mean-reversion is supported in freight ...Ornstein–Uhlenbeck process for the spot freight rate, which, nevertheless, is not downward-restricted implying possible negative spot freight rates, especially ...

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The Existence and Uniqueness of Solutions for Mean Reverting γ Process

The Existence and Uniqueness of Solutions for Mean Reverting γ Process

... [8] Wu, F., Mao, X. and Chen, K. (2008) A Highly Sensitive Mean-Reverting Process in Finance and the Euler-Maruyama Approximations. Journal of Mathematical Analy- sis and Applications , 348, 540-554. ...

7

Mean Reverting Stochastic Processes, Evaluation of Forward Prices and Interest Rates

Mean Reverting Stochastic Processes, Evaluation of Forward Prices and Interest Rates

... S = α µ − + σ (III-21) This kind of processes is very popular in econometrics since, for example, forward prices as well as interest rates appear over time to be pulled back to some long average level. This phenomenon is ...

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Forecasting Time Varying Correlation using the Dynamic Conditional Correlation (DCC) Model

Forecasting Time Varying Correlation using the Dynamic Conditional Correlation (DCC) Model

... the mean-reverting and integrated DCC model, the results in this paper show that the correlation between the two returns is generally negative and is not really constant, but actually time-varying which is ...

35

Monetary exchange rate model: supportive evidence from nonlinear testing procedures

Monetary exchange rate model: supportive evidence from nonlinear testing procedures

... Based on the above consideration, the current study thus attempts to fill up the literature gap by examining the long-run relationship between nominal exchange rate and monetary fundamentals using nonlinear approaches in ...

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PRICING EXOTIC OPTION UNDER STOCHASTIC VOLATILITY MODEL

PRICING EXOTIC OPTION UNDER STOCHASTIC VOLATILITY MODEL

... fast mean-reverting stochastic volatility ...fast mean-reverting stochastic volatility model are derived according to the method of asymptotic expansion which shows the approximation option ...

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Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test

Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test

... The quest for study of stock returns behaviour in India began with early work of Rao and Mukherjee (1971). Later, Sharma and Kennedy (1977), Barua (1981), Gupta (1985), Amanullah(1997) and Amanullah and Kamaiah (1998) ...

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Index volatility is mean-reverting It is negatively correlated with the price A jump in price often entails a volatility jump

Index volatility is mean-reverting It is negatively correlated with the price A jump in price often entails a volatility jump

... Columbia2000 pdf 1 Andrew Matytsin New York, 29 January 2000 (212) 648 0820 Perturbative Analysis of Volatility Smiles 2 This report represents only the personal opinions of the author and not those o[.] ...

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Efficient estimation of Markov regime switching models: An application to electricity wholesale market prices

Efficient estimation of Markov regime switching models: An application to electricity wholesale market prices

... be mean-reverting and exhibit the so called ‘inverse leverage effect’, meaning that the positive shocks increase volatility more than the negative shocks (Knittel and Roberts, ...

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Standardized CUSUM Control Chart for Process Mean with MDSS

Standardized CUSUM Control Chart for Process Mean with MDSS

... Cumulative sum(CUSUM) control charts were first proposed by Page [6] and subsequently studied by many authors, like Arnold Jesse and Reynolds Marion[1]. The conventional Shewhart control chart may not give signal for ...

8

Time-dependent mean-field investigations of the quasifission process

Time-dependent mean-field investigations of the quasifission process

... N = 137, Z = 86 in Ca induced collisions. For exam- ple, the probability of populating a heavy trans-uranium primary fragment with N = 155, Z = 98 relative to the probability of populating the element with mean ...

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