Keywords: نوسان پذیری تصادفی; Online advertising; Guaranteed delivery; First look contract; Advertisement option; Option pricing; Lattice framework; Stochastic volatility
مقالات ISI نوسان پذیری تصادفی (ترجمه نشده)
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Keywords: نوسان پذیری تصادفی; C51; C52; G12; High-frequency data; Implied volatility; Jump activity; Kolmogorov-Smirnov test; Stable process; Stochastic volatility; VIX index;
Keywords: نوسان پذیری تصادفی; Robust portfolio choice; Ambiguity; Stochastic volatility; Welfare loss; G11;
Keywords: نوسان پذیری تصادفی; Stochastic volatility; Jumps; Market prices of risk; Asset allocation; Optimal exposures; G11;
Keywords: نوسان پذیری تصادفی; C22; C15; Stochastic volatility; Structural breaks;
Keywords: نوسان پذیری تصادفی; Normal tempered stable; Lévy model; Option pricing; Hedging; Stochastic volatility
Keywords: نوسان پذیری تصادفی; 60G44; 91B25; 91G70Multi-scaling; Stochastic volatility; Heavy Tails
Keywords: نوسان پذیری تصادفی; C51; C52; G12Option pricing; Risk premia; Jumps; Stochastic volatility; Return predictability; Risk aversion; Extreme events
Keywords: نوسان پذیری تصادفی; G17; G32; G33; C52; Default risk; Distance-to-default; Merton's model; Stochastic volatility; Jump-diffusion;
Keywords: نوسان پذیری تصادفی; Vulnerable option; Stochastic volatility; Multiscale
Keywords: نوسان پذیری تصادفی; Stein-Stein model; Stochastic volatility; Large deviations; Gärtner-Ellis theorem; Implied volatility smile;
Keywords: نوسان پذیری تصادفی; Option pricing; Fast Fourier transform; Double exponential jump; Stochastic volatility; Stochastic intensity;
Keywords: نوسان پذیری تصادفی; Investment stopping time; Optimal selling rule; Stochastic volatility; G13; G11;
Keywords: نوسان پذیری تصادفی; Default risk; Affine processes; Stochastic volatility; Market price of risk; Change of measure; Jump-to-default;
Keywords: نوسان پذیری تصادفی; Option pricing; Stochastic volatility; Quantum mechanics; Singular Lagrangian systems; Dirac's method; Constrained Hamiltonian path integrals;
Keywords: نوسان پذیری تصادفی; C51; C52; G12; Asymmetric volatility activity; High-frequency data; Laplace transform; Signed power variation; Specification testing; Stochastic volatility; Volatility jumps;
Keywords: نوسان پذیری تصادفی; Time varying parameters; Importance sampling; Monte Carlo simulation; Stochastic volatility; Fractional integration;
Keywords: نوسان پذیری تصادفی; Indian equity markets; Coupling; Stochastic volatility; F30; G15;
Keywords: نوسان پذیری تصادفی; G12; G13; Variance risk; Option valuation; Risk-neutral density; Stochastic volatility;
Keywords: نوسان پذیری تصادفی; C22; G13; Credit risk; CDS spread; Merton model; Stochastic volatility; Jumps;
Keywords: نوسان پذیری تصادفی; Stochastic volatility; Realised volatility; Latent variables; Intraday price data; Combined volatility estimator;
Keywords: نوسان پذیری تصادفی; G13; C3; Realized variance; Variance swaps; Volatility swaps; Variance options; Stochastic volatility; Fourier-cosine series;
Keywords: نوسان پذیری تصادفی; C63; G12; E32; Approximation methods; Asset prices; Stochastic volatility;
Keywords: نوسان پذیری تصادفی; C13; C22; C53; Markov chain; Time-varying transition probabilities; Discrete autoregressive model; Stochastic volatility; Realized volatility;
Keywords: نوسان پذیری تصادفی; C11; C15; C22; C58; Bayesian inference; Markov chain Monte Carlo; News impact curve; Rejection sampling; Stochastic volatility;
Keywords: نوسان پذیری تصادفی; C1; C2; G1; Estimation; Stochastic volatility; Pricing formulae; Option data;
Keywords: نوسان پذیری تصادفی; C11; C12; C13; Bayes factor; Markov switching; Persistence; Stochastic volatility; Unit root;
Keywords: نوسان پذیری تصادفی; Random-walk models; Self-similarity; Stochastic volatility; Market time;
Keywords: نوسان پذیری تصادفی; G1; C5; Stochastic volatility; Realised volatility; Jumps;
Keywords: نوسان پذیری تصادفی; Excess-of-loss reinsurance; Heston model; Jump-diffusion risk model; Hamilton-Jacobi-Bellman (HJB) equation; Investment; Stochastic volatility;
Keywords: نوسان پذیری تصادفی; State-space models; Particle filters; Parameter learning; State filtering; Resample-move; Markov chain Monte Carlo; Lévy jumps; Stochastic volatility; Credit risk;
Keywords: نوسان پذیری تصادفی; C13; C14; G10; G12; Extreme events; Jumps; High-frequency data; Jump tails; Non-parametric estimation; Stochastic volatility; Systematic risks; Tail dependence;
Keywords: نوسان پذیری تصادفی; E30; E41; E65; Bretton Woods; The Great Moderation; Stochastic volatility; Real exchange rates; Markov chain Monte Carlo; Structural vector autoregressions;
Keywords: نوسان پذیری تصادفی; Reinsurance and investment strategy; Stochastic volatility; Robust optimal control; Utility maximization; Ambiguity-Averse Insurer;
Keywords: نوسان پذیری تصادفی; E52; F31; F42; Stochastic volatility; Mixture innovation models; Time-varying parameters;
Keywords: نوسان پذیری تصادفی; C11; C14; C15; C22; Dirichlet process; Markov chain Monte Carlo; Stochastic volatility; Time-varying parameters; Inflation;
Keywords: نوسان پذیری تصادفی; C5; C22; G1; Stochastic volatility; Mixed-frequency; Monte Carlo experiment; MCMC method; Unobservable component;
Keywords: نوسان پذیری تصادفی; Stochastic volatility; Infinite activity Lévy process; Differential Evolution algorithm; Option pricing
Keywords: نوسان پذیری تصادفی; Equity index options; Stochastic volatility; Time-changed Lévy process; Volatility risk premium; Square-root unscented Kalman filter
Keywords: نوسان پذیری تصادفی; Backtesting; Expected shortfall; Generalized hyperbolic skew Student’s tt-distribution; Markov chain Monte Carlo; Realized volatility; Stochastic volatility; Value-at-risk
Keywords: نوسان پذیری تصادفی; G12; G13; G31; G32; G33Credit spreads; Credit rating; Stochastic volatility; Multifactor; Structural models
Keywords: نوسان پذیری تصادفی; Stochastic volatility; Volatility model; Option pricing
A new look at Cryptocurrencies
Keywords: نوسان پذیری تصادفی; C5; C22; G1; Long memory; Stochastic volatility; Leverage; Heavy tails; Cryptocurrency; Bitcoin;
Testing CEV stochastic volatility models using implied volatility index data
Keywords: نوسان پذیری تصادفی; C1; G12; G13; CEV model; Jump-diffusion process; Stochastic volatility; VKOSPI;
RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
Keywords: نوسان پذیری تصادفی; Localized radial basis functions; Multiquadrics; Stochastic volatility; Constant elasticity of variance; American options; 91G20; 65M70; 62P05;
Homotopy perturbation transform method for pricing under pure diffusion models with affine coefficients
Keywords: نوسان پذیری تصادفی; Diffusion model; Interest rate; Stochastic volatility; Stiffness; Laplace transform; Homotopy perturbation method;
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Keywords: نوسان پذیری تصادفی; C51; C52; G12; High-frequency data; Activity index; Efficient method of moments; Semimartingale; Specification test; Spot variance; Stochastic volatility;
DG framework for pricing European options under one-factor stochastic volatility models
Keywords: نوسان پذیری تصادفی; 65M60; 35Q91; 91G60; 91G80; Option pricing problem; Black-Scholes model; Stochastic volatility; Discontinuous Galerkin framework; Crank-Nicolson scheme;
Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
Keywords: نوسان پذیری تصادفی; Robust investment strategy; DC pension plan; Stochastic interest rate; Stochastic volatility; AAM;
Barrier option pricing under the 2-hypergeometric stochastic volatility model
Keywords: نوسان پذیری تصادفی; Finance; Option pricing theory; Stochastic volatility; Asymptotic analysis; Regular perturbation method;