19 search results - page 2 / 4 » Nonparametric estimation for a stochastic volatility model |
ICCS
2001
Springer
13 years 9 months ago
2001
Springer
We give the background and required tools for applying quasi-Monte Carlo methods efficiently to problems in computational finance, and survey recent developments in this field. W...
IOR
2006
13 years 5 months ago
2006
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
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 ...
PRDC
2000
IEEE
13 years 8 months ago
2000
IEEE
In this paper, we extend the classical result by Huang, Kintala, Kolettis and Fulton (1995), and in addition propose a modified stochastic model to determine the software rejuvena...
NC
2002
13 years 5 months ago
2002
Second order statistics have formed the basis of learning and adaptation due to its appeal and analytical simplicity. On the other hand, in many realistic engineering problems requ...