Search Results - subject:"STochastic process"

Joint calibration of local volatility models with stochastic interest rates using semimartingale optimal transport

Joseph, Benjamin; Loeper, Grégoire; Obłój, Jan - In: Quantitative finance 24 (2024) 11, pp. 1597-1620

Persistent link: https://www.econbiz.de/10015196948

Option-implied physical distributions

McGee, Richard; Post, Thierry; Potì, Valerio - 2024

Persistent link: https://www.econbiz.de/10015197980

Understanding temporal dynamics of jumps in cryptocurrency markets : evidence from tick-by-tick data

Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - In: Digital finance : smart data analytics, investment … 6 (2024) 4, pp. 605-638

Persistent link: https://www.econbiz.de/10015177138

Imperfect discrimination, similarity, and stochastic transitivity

Caliari, Daniele - In: Economic theory bulletin 12 (2024) 2, pp. 199-209

Persistent link: https://www.econbiz.de/10015177169

Persistent and transient variance components in option pricing models with variance-dependent Kernel

Ghanbari, Hamed - In: Journal of empirical finance 79 (2024), pp. 1-32

Persistent link: https://www.econbiz.de/10015179565

Forecasting oil prices : can large BVARs help?

Zhang, Bo; Nguyen, Bao; Sun, Chuanwang - In: Energy economics 137 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10015181793

An integrated supply chain network design for advanced air mobility aircraft manufacturing using stochastic optimization

Dulia, Esrat Farhana; Shihab, Syed A. M. - In: Supply chain analytics 8 (2024), pp. 1-30

Electric vertical takeoff and landing (eVTOL) aircraft manufacturers await numerous pre-orders for eVTOLs and expect demand for such advanced air mobility (AAM) aircraft to rise dramatically soon. However, eVTOL manufacturers (EMs) cannot commence mass production of commercial eVTOLs due to a...

Persistent link: https://www.econbiz.de/10015325092

A comparative assessment of holt winter exponential smoothing and autoregressive integrated moving average for inventory optimization in supply chains

Kumar, Lalji; Khedlekar, Sudhakar; Khedlekar, Uttam Kumar - In: Supply chain analytics 8 (2024), pp. 1-16

Precise demand forecasting and agile pricing strategies are crucial in modern business. This study aims to enhance these strategies by evaluating the efficacy of Holt-Winters Exponential Smoothing (HWES) and Autoregressive Integrated Moving Average (ARIMA) models. The study assesses their...

Persistent link: https://www.econbiz.de/10015325094

Multivariate rough volatility

Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024

Persistent link: https://www.econbiz.de/10015326256

Realized normal volatility and maximum outlying jumps in high frequency returns for Korean won-US Dollar

Chae-Deug, Yi - In: International review of financial analysis 95 (2024) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10015145287