Search Results - isPartOf:"Applied Stochastic Models in Business and Industry"

Closed-Form Approximations for Spread Options in Lévy Markets

Belle, Jente van - 2018

We provide new closed-form approximations for the pricing of spread options in three specific instances of exponential Lévy markets, i.e., when log-returns are modeled as Brownian motions (Black-Scholes model), Variance Gamma processes (VG model) or Normal Inverse Gaussian processes (NIG...

Persistent link: https://www.econbiz.de/10012930306

Optimal burn‐in policy based on a set of cutoff points using mixture inverse Gaussian degradation process and copulas

Morita, Lia H. M.; Tomazella, Vera L.; Ferreira, Paulo H.; … - In: Applied Stochastic Models in Business and Industry (2021)

Persistent link: https://www.econbiz.de/10012534899

Foreign exchange rate volatility smiles and smirks

Choi, Sun‐Yong; Kim, Jeong‐Hoon; Yoon, Ji‐Hun - In: Applied Stochastic Models in Business and Industry (2021)

Persistent link: https://www.econbiz.de/10012534900

Inference on errors in industrial parts : Kriging and variogram versus geometrical product specifications standard

Maculotti, Giacomo; Pistone, Giovanni; Vicario, Grazia - In: Applied Stochastic Models in Business and Industry 37 (2021) 5, pp. 839-858

Persistent link: https://www.econbiz.de/10012534901

Fast calibration of two‐factor models for energy option pricing

Fabbiani, Emanuele; Marziali, Andrea; De Nicolao, Giuseppe - In: Applied Stochastic Models in Business and Industry (2021)

Persistent link: https://www.econbiz.de/10012534902

Univariate and multivariate mixtures of exponential distributions, with applications in risk modeling

Cossette, Hélène; Marceau, Etienne; Mtalai, Itre; … - In: Applied Stochastic Models in Business and Industry 37 (2021) 4, pp. 675-702

Persistent link: https://www.econbiz.de/10012534903

Machine learning techniques in nested stochastic simulations for life insurance

Castellani, Gilberto; Fiore, Ugo; Marino, Zelda; … - In: Applied Stochastic Models in Business and Industry 37 (2021) 2, pp. 159-181

Persistent link: https://www.econbiz.de/10012534904

Clustering ultrasonic waves propagation time : A hierarchical polynomial semiparametric approach

Zuanetti, Daiane Aparecida; da Paz, Rosineide Fernando; … - In: Applied Stochastic Models in Business and Industry 37 (2021) 5, pp. 894-907

Persistent link: https://www.econbiz.de/10012534905

Foreword : Special issue of ASMBI for y‐BIS 2019: Recent Advances in Business Analytics and Data Science

Ekin, Tahir; Puggioni, Gavino; Rodrigues, Paulo Canas - In: Applied Stochastic Models in Business and Industry 37 (2021) 2, pp. 157-158

Persistent link: https://www.econbiz.de/10012534906

Interval selection : A case‐study‐based approach

Arboretti, Rosa; Ceccato, Riccardo; Pegoraro, Luca; … - In: Applied Stochastic Models in Business and Industry 37 (2021) 5, pp. 926-941

Persistent link: https://www.econbiz.de/10012534907

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