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Full-Text Articles in Physical Sciences and Mathematics
Estimation Of Multivariate Asset Models With Jumps, Angela Loregian, Laura Ballotta, Gianluca Gianluca Fusai, Marcos Fabricio Perez
Estimation Of Multivariate Asset Models With Jumps, Angela Loregian, Laura Ballotta, Gianluca Gianluca Fusai, Marcos Fabricio Perez
Business Faculty Publications
We propose a consistent and computationally efficient two-step methodology for the estimation of multidimensional non-Gaussian asset models built using Levy processes. The proposed framework allows for dependence between assets and different tail behaviors and jump structures for each asset. Our procedure can be applied to portfolios with a large number of assets as it is immune to estimation dimensionality problems. Simulations show good finite sample properties and significant efficiency gains. This method is especially relevant for risk management purposes such as, for example, the computation of portfolio Value at Risk and intra-horizon Value at Risk, as we show in detail …
Analysis Of Clmr Trees For European And Asian Option Pricing Under Regime-Switching Jump-Diffusion Models, Yaode Sui
Theses and Dissertations (Comprehensive)
In this paper, we study the convergence rates of the multinomial trees constructed by [Costabile, Leccadito, Massabo and Russo, Journal of Computational and Applied Mathematics, 256 (2014), 152 - 167] for European option pricing under the regime-switching jump-diffusion model, which is named as CLMR tree. We also extend the CLMR tree to the pricing of Asian options under the models. Numerical examples are carried out to confirm the theoretical results and the accuracy of computation.
Multiscale Mathematical Modelling Of Nonlinear Nanowire Resonators For Biological Applications, Rosa Fallahpourghadikolaei
Multiscale Mathematical Modelling Of Nonlinear Nanowire Resonators For Biological Applications, Rosa Fallahpourghadikolaei
Theses and Dissertations (Comprehensive)
Nanoscale systems fabricated with low-dimensional nanostructures such as carbon nanotubes, nanowires, quantum dots, and more recently graphene sheets, have fascinated researchers from different fields due to their extraordinary and unique physical properties. For example, the remarkable mechanical properties of nanoresonators empower them to have a very high resonant frequency up to the order of giga to terahertz. The ultra-high frequency of these systems attracted the attention of researchers in the area of bio-sensing with the idea to implement them for detection of tiny bio-objects. In this thesis, we originally propose and analyze a mathematical model for nonlinear vibrations of nanowire …