Keywords: پرش انتشار; Structural default model; Mutual liabilities; Jump-diffusion; Finite-difference and splitting methods; Calibration;
مقالات ISI پرش انتشار (ترجمه نشده)
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Keywords: پرش انتشار; VIX options; VIX futures; Heston model; Stochastic volatility; Jump-diffusion; Displacement; G12; G13;
Keywords: پرش انتشار; Neural networks; Indirect inference; Approximate Bayesian computing; Machine learning; DSGE; Jump-diffusion;
Keywords: پرش انتشار; Variance risk premium; VIX futures; VIX ETN; Dynamic equilibrium; Jump-diffusion; G12; G13; C22; C58;
Keywords: پرش انتشار; Jump-diffusion; Regime-switching; Variance swaps; Optimal investment; G11; D9;
Keywords: پرش انتشار; G17; G32; G33; C52; Default risk; Distance-to-default; Merton's model; Stochastic volatility; Jump-diffusion;
Keywords: پرش انتشار; Partial integro-differential equations; Jump-diffusion; Viscosity solution; Wavelet; Adaptive collocation methods
Keywords: پرش انتشار; Catastrophe events; Jump processes; Jump-diffusion; Insurance products; Derivative assets; G13;
Keywords: پرش انتشار; G13; G31; Real options; R&D; Technical risk; Path-dependency; Sequential-compound options; Jump-diffusion;
Keywords: پرش انتشار; OR in natural resources; Stochastic dynamic optimization; Jump-diffusion; Simulations; Sustainability
On the LP formulation in measure spaces of optimal control problems for jump-diffusions
Keywords: پرش انتشار; Stochastic control; Jump-diffusion; Linear programming; Occupation measure; Dual formulation; Viscosity solution
Hitting properties and non-uniqueness for SDEs driven by stable processes
Keywords: پرش انتشار; primary; 60J80; secondary; 60G18; Continuous state branching processes; Immigration; Self-similarity; Jump-diffusion;
The maximum principle for a jump-diffusion mean-field model and its application to the mean–variance problem
Keywords: پرش انتشار; Mean-field model; Stochastic maximum principle; Jump-diffusion; Backward stochastic differential equation; Mean–variance portfolio selection
International market links and volatility transmission
Keywords: پرش انتشار; C14; G15; Conditional independence; Jump-diffusion; Noncausality; Quadratic variation; Realized variance;
A critical empirical study of three electricity spot price models
Keywords: پرش انتشار; Electricity spot price; Mean-reversion; Spikes; Jump-diffusion; Ornstein-Uhlenbeck process; Electricity forwards; Forward risk premium;
Expected returns, risk premia, and volatility surfaces implicit in option market prices
Keywords: پرش انتشار; G11; G12; G13; Jump-diffusion; Term structure of implied volatilities; Option pricing model;
Pricing American options when asset prices jump
Keywords: پرش انتشار; American option; Jump-diffusion; Free-boundary; Exercise-policy improvement
Two counters of jumps
Keywords: پرش انتشار; G11; G12; G13; Jump-diffusion; Smile effect; Term structure of implied volatilities;
Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
Keywords: پرش انتشار; G10; IB10; Term structure model; No arbitrage; Martingale measure; Hedging strategies; Marked point process; Jump-diffusion;
Simulated annealing for Lévy-driven jump-diffusions
Keywords: پرش انتشار; 60E07; 60F10Non-Gaussian stable Lévy process; Jump-diffusion; Heavy tail; Metastability; Extreme events; First exit time; Large deviations; Simulated annealing; Cooling rate
Stochastic pension fund control in the presence of Poisson jumps
Keywords: پرش انتشار; Defined-benefit pension funds; Jump-diffusion; Optimal asset allocation;
Vortex theory approach to stochastic hydrodynamics
Keywords: پرش انتشار; Measure-valued stochastic partial differential equation; Stochastic Navier–Stokes equation; Vorticity; Jump-diffusion
Using GMM to flatten the option volatility smile
Keywords: پرش انتشار; G12; G13Option pricing; Stochastic volatility; Jump-diffusion; Generalized method of moments (GMM)
Pricing methods and hedging strategies for volatility derivatives
Keywords: پرش انتشار; G12; G13; Volatility derivatives; Risk management; Jump-diffusion; Local volatility surface;
A kinetic Monte Carlo study of proton diffusion in disordered perovskite structured lattices based on first-principles calculations
Keywords: پرش انتشار; 66.30.Dn; 71.15.Mb; 61.12.−qProton conductors; Perovskite oxides; BaZrO3; Jump-diffusion; Kinetic Monte Carlo; KMC; First-principles calculations; DFT
The implied jump risk of LIBOR rates
Keywords: پرش انتشار; G120; G130; LIBOR; Jump-diffusion; Federal reserve; Macroeconomic announcements;
Optimal investment for insurer with jump-diffusion risk process
Keywords: پرش انتشار; IM12; IM50; Hamilton-Jacobi-Bellman equations; Martingale; Utility; Jump-diffusion; Ito's formula; Stochastic control;