Search Results - subject:"processes"

Solving Markov decision processes via state space decomposition and time aggregation

Alexandre, Rodrigo e Alvim; Fragoso, Marcelo D.; … - In: European journal of operational research : EJOR 324 (2025) 1, pp. 155-167

Persistent link: https://www.econbiz.de/10015433011

Markov-Modulated and Shifted Wishart processes with applications in derivatives pricing

Faraz, Behzad-Hussein Azadie; Arian, Hamid; Escobar, Marcos - In: International Journal of Financial Studies : open … 13 (2025) 2, pp. 1-31

The popular Wishart (WI) processes, first introduced by Bru in 1991, exhibit convenient analytical properties for … dynamic. Moreover, the variance processes implied by the Wishart, similar to CIR models, have no buffer away from zero. In … this paper, we introduced the Markov-Modulated Shifted Wishart processes (MMSW) and the embedded Shifted Wishart processes …

Persistent link: https://www.econbiz.de/10015435445

Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes

Pasricha, Puneet; Selvamuthu, Dharmaraja; Tardelli, Paola - In: Opsearch : journal of the Operational Research Society … 62 (2025) 2, pp. 1061-1081

Persistent link: https://www.econbiz.de/10015532943

Optimal reinsurance via BSDEs in a partially observable model with jump clusters

Brachetta, Matteo; Callegaro, Giorgia; Ceci, Claudia; … - In: Finance and stochastics 28 (2024) 2, pp. 453-495

Persistent link: https://www.econbiz.de/10015130335

A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets

Benth, Fred Espen; Sgarra, Carlo - In: Finance and stochastics 28 (2024) 4, pp. 1035-1076

Persistent link: https://www.econbiz.de/10015130552

Canonical rough path over tempered fractional Brownian Motion : existence, construction, and applications

Lechiheb, Atef - 2026

Persistent link: https://www.econbiz.de/10015637968

A comparative study of factor models for different periods of the electricity spot price market

Laudagé, Christian; Aichinger, Florian; Desmettre, Sascha - In: Journal of commodity markets : JCM 36 (2024), pp. 1-29

Persistent link: https://www.econbiz.de/10015162606

Stochastic exchange rate dynamics, intervention dynamics and the market efficiency hypothesis

Drakonakis, Emmanouil; Kotsios, Stelios - In: Computational economics 65 (2025) 1, pp. 463-481

Persistent link: https://www.econbiz.de/10015195774

Discretization of fractional fully nonlinear equations by powers of discrete Laplacians

Chowdhury, Indranil; Jakobsen, Espen R.; Lien, Robin Ø - In: Dynamic games and applications : DGA 15 (2025) 2, pp. 383-405

Persistent link: https://www.econbiz.de/10015509354

Cross section curve autoregression : the unit root case

Phillips, Peter C. B.; Jiang, Liang - 2025

Persistent link: https://www.econbiz.de/10015448075