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The stochastic behavior of electricity prices under scrutiny : evidence from spot and futures markets

Bégin, Jean-François; Gómez, Fabio; Ignatieva, Ekaterina - In: Energy economics 144 (2025), pp. 1-25

Persistent link: https://www.econbiz.de/10015583207

Forecasting stock indices : stochastic and artificial neural network models

Pande, Naman Krishna; Kumar, Arun; Gupta, Arvind Kumar - In: Computational economics 65 (2025) 4, pp. 1937-1969

Persistent link: https://www.econbiz.de/10015590204

Discontinuous movements and asymmetries in cryptocurrency markets

Gillas, Konstantinos Gkillas; Katsiampa, Paraskevi; … - In: The European journal of finance 30 (2024) 16, pp. 1907-1931

Persistent link: https://www.econbiz.de/10015273086

What drives jumps in the secured Overnight Financing Rate? : evidence from the arbitrage-free Nelson-Siegel model with jump diffusion

Fang, Dong-Jie; Yeh, Zong-Wei; He, Jie-Cao; Lin, Shih-kuei - In: Pacific-Basin finance journal 86 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015095106

Implied parameter estimation for jump diffusion option pricing models : pricing accuracy and the role of loss and evaluation functions

Hilliard, Jimmy E.; Hilliard, Jitka; Ngo, Julie T. D. - In: Journal of commodity markets : JCM 35 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015077292

Optimal investment-consumption-insurance strategy with inflation risk and stochastic income in an Itô-Lévy setting

Moagi, Gaoganwe S.; Doctor, Obonye - In: International journal of financial engineering 11 (2024) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10014574920

An efficient and provable sequential quadratic programming method for American and swing option pricing

Shen, Jinye; Huang, Weizhang; Ma, Jingtang - In: European journal of operational research : EJOR 316 (2024) 1, pp. 19-35

Persistent link: https://www.econbiz.de/10014566281

Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models

Ignatieva, Ekaterina; Wong, Patrick - In: Journal of empirical finance 78 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015101647

Duality in optimal consumption-investment problems with alternative data

Chen, Kexin; Wong, Hoi Ying - In: Finance and stochastics 28 (2024) 3, pp. 709-758

Persistent link: https://www.econbiz.de/10015130378

Application of Fractal Processes and Fractional Derivatives in Finance

Chan, Leung Lung (contributor) - 2024

In recent years, there has been a fast growth in the application of long-memory processes to underlying assets including stock, volatility index, exchange rate, etc. The fractional Brownian motion is the most popular of the long-memory processes and was introduced by Kolmogorov in 1940 and later...

Persistent link: https://www.econbiz.de/10015324975

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