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Uniqueness of the nonlinear Schrödinger equation driven by jump processes
In a recent paper by the first two authors, existence of martingale solutions to a stochastic nonlinear Schrödinger equation driven by a Lévy noise was proved. In this paper, we prove pathwise uniqueness, uniqueness in law and existence of s...
Pure mathematics
- 2019 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Numerical Pricing of European Options Under the Double Exponential Jump-Diffusion Model With Stochastic Volatility
Stochastic volatility models with jumps generalize the classical Black-Scholes. The extension is performed by incorporating jumps and a stochastic nature of volatility on pricing of European-style options under the...
Applied mathematics
- 2023 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Estimating Correlated Jumps and Stochastic Volatilities
Main topics of the document: jump-diffussion; stochastic volatility; MCM...
AH - Ekonomie
- 2013 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Sequential Gibbs Particle Filter Algorithm with Applications to Stochastic Volatility and Jumps Estimation
Main topics of the document: Bayesian methods; particle filters; stochastic volatility; jumps...
Public administration
- 2019 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Using High-frequency Power-variation Estimators in the Bayesian Estimation of Stochastic-volatility Jump-diffusion Models
Main topics of the document: stochastic volatility; self-exciting jumps; realized volatility...
AH - Ekonomie
- 2015 •
- D
Rok uplatnění
D - Stať ve sborníku
Bayesian estimation of stochastic-volatility jump-diffusion models on intraday price returns
Main topics of the document: stochastic volatility; self-exciting jumps; Bayesian inference; intraday seasonality...
AE - Řízení, správa a administrativa
- 2015 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Option Pricing under the Bates Model Using the Discontinuous Galerkin Method
Stochastic volatility models with jumps generalize the classical Black-Scholes. The extension is performed by incorporating jumps and a stochastic nature of volatility. Moreover, the simultaneous presence of the no...
Applied mathematics
- 2022 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Option Pricing under the Bates Model Using the Discontinuous Galerkin Method
Stochastic volatility models with jumps generalize the classical Black-Scholes. The extension is performed by incorporating jumps and a stochastic nature of volatility. Moreover, the simultaneous presence of the no...
Economics and Business
- 2022 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Use of Adapted Particle Filters in SVJD Models
Main topics of the document: particle filters; stochastic volatility; price jumps...
Public administration
- 2018 •
- Jost •
- Link
Rok uplatnění
Jost - Ostatní články v recenzovaných periodicích
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Historical Calibration of SVJD Models with Deep Learning
Main topics of the document: stochastic volatility; price jumps; SVJD; neural networks; deep learning; CNN...
Finance
- 2023 •
- O •
- Link
Rok uplatnění
O - Ostatní výsledky
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