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知网期刊论文(2340)
在“
SpringerLink电子期刊
”中,
命中:
520
条,耗时:小于0.01 秒
在所有数据库中总计命中:
5,763
条
1.
Modelling the
volatility
of commodities prices using a
stochastic
volatility
model with random level shifts
作者:
Dennis Alvaro
;
Ángel Guillén
;
Gabriel Rodríguez
关键词:
Stochastic
volatility
;
State
;
space models
;
Bayesian inference
;
Random level shifts
;
Commodity prices long memory
刊名:Review of World Economics
出版年:2017
2.
Bayesian inference for Heston-STAR models
作者:
Osnat Stramer
;
Xiaoyu Shen
;
Matthew Bognar
关键词:
Stochastic
volatility
model
;
Heston model
;
Smooth transition autoregressive (STAR) model
;
Bayesian inference
;
Data augmentation
刊名:Statistics and Computing
出版年:2017
3.
Sequential Monte Carlo methods for mixtures with normalized random measures with independent increments priors
作者:
J. E. Griffin
关键词:
Bayesian nonparametrics
;
Dirichlet process
;
Normalized generalized gamma process
;
Nonparametric
stochastic
volatility
;
Slice sampling
;
Particle Gibbs sampling
刊名:Statistics and Computing
出版年:2017
4.
Short-term asymptotics for the implied
volatility
skew under a
stochastic
volatility
model with Lévy jumps
作者:
José E. Figueroa-López
;
Sveinn Ólafsson
关键词:
Exponential Lévy models
;
Stochastic
volatility
models
;
Short
;
term asymptotics
;
ATM implied
volatility
slope
;
ATM digital call option prices
刊名:Finance and
Stochastic
s
出版年:2016
5.
Indeterminacy in
stochastic
overlapping generations models: real effects in the long run
作者:
Zhigang Feng
;
Matthew Hoelle
关键词:
OLG
;
Indeterminacy
;
Markov Equilibrium
;
Computation
;
Simulation
刊名:Economic Theory
出版年:2017
6.
Short-time expansions for close-to-the-money options under a Lévy jump model with
stochastic
volatility
作者:
José E. Figueroa-López
;
Sveinn Ólafsson
关键词:
Exponential Lévy models
;
Stochastic
volatility
models
;
Short
;
time asymptotics
;
ATM option pricing
;
Implied
volatility
;
60G51
;
60F99
;
91G20
;
C6
刊名:Finance and
Stochastic
s
出版年:2016
7.
Hedging with small uncertainty aversion
作者:
Sebastian Herrmann
;
Johannes Muhle-Karbe
;
Frank Thomas Seifried
关键词:
Volatility
uncertainty
;
Ambiguity aversion
;
Option pricing and hedging
;
Asymptotics
刊名:Finance and
Stochastic
s
出版年:2017
8.
Market completion with derivative securities
作者:
Daniel C. Schwarz
关键词:
Completeness
;
Derivatives
;
Integral representation
;
Diffusion
;
Martingales
;
Parabolic equations
;
Analytic functions
;
Jacobian determinant
刊名:Finance and
Stochastic
s
出版年:2017
9.
Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition
作者:
Adam Andersson
;
Raphael Kruse
关键词:
SODE
;
Backward Euler–Maruyama method
;
BDF2
;
Maruyama method
;
Strong convergence rates
;
Global monotoncity condition
刊名:BIT Numerical Mathematics
出版年:2017
10.
Multivariate Wishart
stochastic
volatility
and changes in regime
作者:
Bastian Gribisch
关键词:
Multivariate
stochastic
volatility
;
Dynamic correlations
;
Wishart distribution
;
Markov switching
;
Markov chain Monte Carlo
刊名:AStA Advances in Statistical Analysis
出版年:2016
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