Stochastic Models - Articles - Scientific Research Publishing

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 7,310 Downloads 10,935 Views Citations
Stochastic Maximum Principle for Optimal Advertising Models with Delay and Non-Convex Control Spaces (Articles)

Giuseppina Guatteri, Federica Masiero

Advances in Pure Mathematics Vol.14 No.6，June 18, 2024

DOI: 10.4236/apm.2024.146025 66 Downloads 289 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 6,760 Downloads 11,724 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 711 Downloads 2,120 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 5,924 Downloads 9,928 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 6,657 Downloads 12,495 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 4,700 Downloads 7,290 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 4,585 Downloads 6,586 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 5,246 Downloads 7,463 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 5,419 Downloads 6,368 Views Citations
This article belongs to the Special Issue on Industrial Engineering
A Comparison of Deterministic and Stochastic Susceptible-Infected-Susceptible (SIS) and Susceptible-Infected-Recovered (SIR) Models (Articles)

Abdelmalik Moujahid, Fernando Vadillo

Open Journal of Modelling and Simulation Vol.9 No.3，July 19, 2021

DOI: 10.4236/ojmsi.2021.93016 326 Downloads 1,651 Views Citations
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 874 Downloads 1,766 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 4,454 Downloads 6,098 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 5,994 Downloads 9,911 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 1,149 Downloads 1,824 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 958 Downloads 1,743 Views Citations
Approximations of Quasi-Stationary Distributions of the Stochastic SVIR Model for the Measles (Articles)

Moussa Seydou, Moussa Tessa

Journal of Applied Mathematics and Physics Vol.9 No.9，September 16, 2021

DOI: 10.4236/jamp.2021.99145 261 Downloads 1,044 Views Citations
Modelling Stochastic Volatility in the Kenyan Securities Market Using Hidden Markov Models (Articles)

Matilda B. Bosire, Samuel Chege Maina

Journal of Financial Risk Management Vol.10 No.3，September 30, 2021

DOI: 10.4236/jfrm.2021.103021 417 Downloads 1,877 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 5,452 Downloads 9,577 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 646 Downloads 2,229 Views Citations
This article belongs to the Special Issue on Statistical Modeling and Analysis

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