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The Calibration of Some Stochastic Volatility Models Used in Mathematical Finance
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Open Journal of Applied Sciences
Vol.4 No.2
,February 20, 2014
DOI:
10.4236/ojapps.2014.42004
5,799
Downloads
8,398
Views
Citations
Some Explicit Formulae for the Hull and White Stochastic Volatility Model
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Int'l J. of Modern Nonlinear Theory and Application
Vol.2 No.1
,March 13, 2013
DOI:
10.4236/ijmnta.2013.21003
5,443
Downloads
9,831
Views
Citations
On the Contribution of the Stochastic Integrals to Econometrics
(Articles)
Lewis N. K. Mambo
,
Rostin M. M. Mabela
,
Isaac K. Kanyama
,
Eugène M. Mbuyi
Applied Mathematics
Vol.10 No.12
,December 23, 2019
DOI:
10.4236/am.2019.1012073
318
Downloads
602
Views
Citations
Discrete Evolutionary Genetics: Multiplicative Fitnesses and the Mutation-Fitness Balance
(Articles)
Thierry Huillet
,
Servet Martinez
Applied Mathematics
Vol.2 No.1
,January 30, 2011
DOI:
10.4236/am.2011.21002
5,290
Downloads
8,881
Views
Citations
Some Explicitly Solvable SABR and Multiscale SABR Models: Option Pricing and Calibration
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Journal of Mathematical Finance
Vol.3 No.1
,February 26, 2013
DOI:
10.4236/jmf.2013.31002
6,280
Downloads
11,570
Views
Citations
A New Formula for Partitions in a Set of Entities into Empty and Nonempty Subsets, and Its Application to Stochastic and Agent-Based Computational Models
(Articles)
Ghennadii Gubceac
,
Roman Gutu
,
Florentin Paladi
Applied Mathematics
Vol.4 No.10C
,October 4, 2013
DOI:
10.4236/am.2013.410A3003
3,905
Downloads
6,072
Views
Citations
This article belongs to the Special Issue on
Advances in Mathematical Physics
Solving Nonlinear Stochastic Diffusion Models with Nonlinear Losses Using the Homotopy Analysis Method
(Articles)
Aisha A. Fareed
,
Hanafy H. El-Zoheiry
,
Magdy A. El-Tawil
,
Mohammed A. El-Beltagy
,
Hany N. Hassan
Applied Mathematics
Vol.5 No.1
,January 10, 2014
DOI:
10.4236/am.2014.51014
4,218
Downloads
5,743
Views
Citations
The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Journal of Applied Mathematics and Physics
Vol.2 No.7
,June 13, 2014
DOI:
10.4236/jamp.2014.27062
4,350
Downloads
5,731
Views
Citations
Optimal Aggregate Production Plans via a Constrained LQG Model
(Articles)
Oscar S. Silva Filho
Engineering
Vol.6 No.12
,November 13, 2014
DOI:
10.4236/eng.2014.612075
5,063
Downloads
5,647
Views
Citations
This article belongs to the Special Issue on
Industrial Engineering
Embedding Stochastic Correlation into the Pricing of FX Quanto Options under Stochastic Volatility Models
(Articles)
Tommaso Pellegrino
Journal of Mathematical Finance
Vol.9 No.3
,August 22, 2019
DOI:
10.4236/jmf.2019.93025
371
Downloads
810
Views
Citations
Modeling Exchange Rate Dynamics in Egypt: Observed and Unobserved Volatility
(Articles)
Dina Rofael
,
Rana Hosni
Modern Economy
Vol.6 No.1
,January 14, 2015
DOI:
10.4236/me.2015.61006
3,756
Downloads
4,716
Views
Citations
Identifying the dependency pattern of daily rainfall of Dhaka station in Bangladesh using Markov chain and logistic regression model
(Articles)
Mina Mahbub Hossain
,
Sayedul Anam
Agricultural Sciences
Vol.3 No.3
,May 15, 2012
DOI:
10.4236/as.2012.33045
5,370
Downloads
8,737
Views
Citations
Towards a Field Theoretical Stochastic Model for Description of Tumour Growth
(Articles)
Leonardo Mondaini
Journal of Applied Mathematics and Physics
Vol.5 No.5
,May 26, 2017
DOI:
10.4236/jamp.2017.55095
855
Downloads
1,162
Views
Citations
Stability of High-Order Linear Itô Equations with Delays
(Articles)
Lev Idels
,
Ramazan Kadiev
,
Arcady Ponosov
Applied Mathematics
Vol.9 No.3
,March 29, 2018
DOI:
10.4236/am.2018.93019
604
Downloads
885
Views
Citations
Bayesian Testing for Asset Volatility Persistence on Multivariate Stochastic Volatility Models
(Articles)
Yong Li
,
Fang-Ping Peng
,
Hao-Feng Xu
Journal of Mathematical Finance
Vol.2 No.1
,February 28, 2012
DOI:
10.4236/jmf.2012.21010
5,071
Downloads
8,749
Views
Citations
Study of Volatility Stochastic Processes in the Context of Solvency Forecasting for Sri Lankan Life Insurers
(Articles)
Ashika Mendis
Open Journal of Statistics
Vol.11 No.1
,January 20, 2021
DOI:
10.4236/ojs.2021.111004
56
Downloads
156
Views
Citations
This article belongs to the Special Issue on
Statistical Modeling and Analysis
Stochastic Model for Multiple Classes and Subclasses Simple Documents Processing
(Articles)
Pierre Moukeli Mbindzoukou
,
Arsène Roland Moukoukou
,
Marius Massala
Intelligent Information Management
Vol.13 No.2
,March 9, 2021
DOI:
10.4236/iim.2021.132006
34
Downloads
123
Views
Citations
Applications of Mogulskii, and Kurtz-Feng Large Deviation Results to Risk Reserve Processes with Aggregate Claims
(Articles)
Jorge Garcia
,
Ana Meda
Applied Mathematics
Vol.3 No.12A
,December 31, 2012
DOI:
10.4236/am.2012.312A291
4,380
Downloads
6,297
Views
Citations
This article belongs to the Special Issue on
Probability and Its Applications
Spatio-Temporal Patterns for a Generalized Innovation Diffusion Model
(Articles)
Fariba Hashemi
,
Max-Olivier Hongler
,
Olivier Gallay
Theoretical Economics Letters
Vol.2 No.1
,February 23, 2012
DOI:
10.4236/tel.2012.21001
5,564
Downloads
10,111
Views
Citations
Mass Spectrum in the Minimal Supersymmetric 3-3-1 Model
(Articles)
Marcos Cardoso Rodriguez
Journal of Modern Physics
Vol.2 No.10
,October 21, 2011
DOI:
10.4236/jmp.2011.210149
5,465
Downloads
8,145
Views
Citations
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