18 search results - page 2 / 4 » Modeling the Dynamics of Credit Spreads with Stochastic Vola... |
CORR
2002
Springer
13 years 5 months ago
2002
Springer
In a seminal paper in 1973, Black and Scholes argued how expected distributions of stock prices can be used to price options. Their model assumed a directed random motion for the ...
HICSS
2002
IEEE
13 years 10 months ago
2002
IEEE
We propose a class of alternative stochastic volatility models for electricity prices using the quantile function modeling approach. Specifically, we fit marginal distributions ...
AUTOMATICA
2006
13 years 5 months ago
2006
This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize7 market and capital adequacy risk that in...
CORR
2008
Springer
13 years 5 months ago
2008
Springer
We introduce a general stochastic model for the spread of rumours, and derive mean-field equations that describe the dynamics of the model on complex social networks (in particula...
AAAI
2010
13 years 6 months ago
2010
Diffusion processes taking place in social networks are used to model a number of phenomena, such as the spread of human or computer viruses, and the adoption of products in `vira...