Publications related to Stochastic volatility

Organic aerosol in the summertime southeastern United States: Components and their link to volatility distribution, oxidation state and hygroscopicity

Athanasios Nenes, Spyros Pandis

The volatility distribution of the organic aerosol (OA) and its sources during the Southern Oxidant and Aerosol Study (SOAS; Centreville, Alabama) was constrained using measurements from an Aerodyne high-resolution time-of-flight aerosol mass spectrometer ...

Copernicus GmbH2018

An overview of a new sensor calibration platform

Jan Skaloud, Stéphane Guerrier, Philipp Clausen

Inertial sensors are increasingly being employed in different types of applications. The reduced cost and the extremely small size makes them the number-one-choice in miniature embedded devices like phones, watches, and small unmanned aerial vehicles. The ...

2017

Inventory dynamics in process industries: An empirical investigation

Ralf Seifert, Olov Isaksson, Philipp Urs Moser

Process industry firms have thrived in recent decades, but changes in the markets are currently putting both growth and profitability at risk. In this context, inventory management is increasingly viewed as an essential lever for creating a sustainable com ...

Elsevier2017

On the Besov regularity of periodic Levy noises

Michaël Unser, Julien René Pierre Fageot, John Paul Ward

In this paper, we study the Besov regularity of Levy white noises on the d-dimensional torus. Due to their rough sample paths, the white noises that we consider are defined as generalized stochastic fields. We, initially, obtain regularity results for gene ...

Academic Press Inc Elsevier Science2017

Polynomial diffusions and applications in finance

Damir Filipovic, Martin Larsson

This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and ...

Springer Verlag2016

Fed funds futures variance futures

Damir Filipovic

We develop a novel contract design, the fed funds futures (FFF) variance futures, which reflects the expected realized basis point variance of an underlying FFF rate. The valuation of short-term FFF variance futures is completely model-independent in a gen ...

Routledge Journals, Taylor & Francis Ltd2016

Insider Trading, Stochastic Liquidity, And Equilibrium Prices

Pierre Collin Dufresne

We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks t ...

Wiley-Blackwell2016

Tensor train approximation of moment equations for elliptic equations with lognormal coefficient

Fabio Nobile, Daniel Kressner, Francesca Bonizzoni

We study an elliptic equation with stochastic coefficient modeled as a lognormal random field. A perturbation approach is adopted, expanding the solution in Taylor series around the nominal value of the coefficient. The resulting recursive deterministic pr ...

Elsevier2016

Interbands Phase Models for Polychromatic Image Reconstruction in Optical Interferometry

Alessio Ferrari, Ferréol Arnaud Marie Soulez

This paper presents an extension of the spatio-spectral ("3D") image reconstruction algorithm called PAINTER (Polychromatic opticAl INTErferometric Reconstruction software). The algorithm is able to solve large scale problems and relies on an iterative pro ...

SPIE2016

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Stochastic volatility

Organic aerosol in the summertime southeastern United States: Components and their link to volatility distribution, oxidation state and hygroscopicity

Polynomial models in finance

An overview of a new sensor calibration platform

Inventory dynamics in process industries: An empirical investigation

On the Besov regularity of periodic Levy noises

Polynomial diffusions and applications in finance

Fed funds futures variance futures

Insider Trading, Stochastic Liquidity, And Equilibrium Prices

Tensor train approximation of moment equations for elliptic equations with lognormal coefficient

Interbands Phase Models for Polychromatic Image Reconstruction in Optical Interferometry

Graph Chatbot

Chat with Graph Search

Polynomial models in finance

On the Besov regularity of periodic Levy noises

Inventory dynamics in process industries: An empirical investigation

Organic aerosol in the summertime southeastern United States: Components and their link to volatility distribution, oxidation state and hygroscopicity

An overview of a new sensor calibration platform

Polynomial diffusions and applications in finance

Fed funds futures variance futures

Tensor train approximation of moment equations for elliptic equations with lognormal coefficient

Insider Trading, Stochastic Liquidity, And Equilibrium Prices

Interbands Phase Models for Polychromatic Image Reconstruction in Optical Interferometry