Mean-reverting Process
A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations
20
Optimal inventory management and order book modeling *
37
Quantitative Techniques for Spread Trading in Commodity Markets
175
Recent Developments in Option Pricing
9
Unemployment hysteresis, structural changes, non-linearities and fractional integration in European transition economies
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A note on the current account sustainability of European transition economies
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Bayesian calibration and number of jump components in electricity spot price models
39
Economic hysteresis effects and hitting time densities for CIR diffusions
44
The viscosity solutions approach to swing options pricing under a regime switching mean reverting model
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Freight Derivatives Pricing for Decoupled Mean-Reverting Diffusion and Jumps
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The Existence and Uniqueness of Solutions for Mean Reverting γ Process
7
Mean Reverting Stochastic Processes, Evaluation of Forward Prices and Interest Rates
37
Forecasting Time Varying Correlation using the Dynamic Conditional Correlation (DCC) Model
35
Monetary exchange rate model: supportive evidence from nonlinear testing procedures
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PRICING EXOTIC OPTION UNDER STOCHASTIC VOLATILITY MODEL
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Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test
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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
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Efficient estimation of Markov regime switching models: An application to electricity wholesale market prices
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Standardized CUSUM Control Chart for Process Mean with MDSS
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Time-dependent mean-field investigations of the quasifission process
6