Related papers: Stochastic volatility model with long memory for w…
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…
This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility model of Calvet and Fisher (2004) to the duration setting. Although the MSMD process is exponential $\beta$-mixing as we…
Hydroelectric power generation is a critical component of the global energy matrix, particularly in countries like Brazil, where it represents the majority of the energy supply. However, its strong dependence on river discharges, which are…
We present an open-source solution for the operational control of drinking water distribution networks which accounts for the inherent uncertainty in water demand and electricity prices in the day-ahead market of a volatile deregulated…
Stochastic hydrodynamics provides a dynamical framework for the evolution of fluctuations in heavy-ion collisions, but poses significant challenges in numerical simulations. We present an algorithm for the simulation of non-relativistic…
The paper studies derivative asset analysis in structural credit risk models where the asset value of the firm is not fully observable. It is shown that in order to compute the price dynamics of traded securities one needs to solve a…
We approximate stochastic processes in finite dimension by dynamical systems. We provide trajectorial estimates which are uniform with respect to the initial condition for a well chosen distance. This relies on some non-expansivity property…
In an efficient stock market, the returns and their time-dependent volatility are often jointly modeled by stochastic volatility models (SVMs). Over the last few decades several SVMs have been proposed to adequately capture the defining…
Patient-specific modeling of cardiovascular flows with high-fidelity is challenging due to its dependence on accurately estimated velocity boundary profiles, which are essential for precise simulations and directly influence wall shear…
A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow…
This paper expands traditional stochastic volatility models by allowing for time-varying skewness without imposing it. While dynamic asymmetry may capture the likely direction of future asset returns, it comes at the risk of leading to…
Long Memory Stochastic volatility (LMSV) models capture two standardized features of financial data: the log-returns are uncorrelated, but their squares, or absolute values are (highly) dependent and they may have heavy tails. EGARCH and…
Learning hydrologic models for accurate riverine flood prediction at scale is a challenge of great importance. One of the key difficulties is the need to rely on in-situ river discharge measurements, which can be quite scarce and…
Volatility, as a primary indicator of financial risk, forms the foundation of classical frameworks such as Markowitz's Portfolio Theory and the Efficient Market Hypothesis (EMH). However, its conventional use rests on assumptions-most…
This paper addresses the challenge of model uncertainty in quantitative finance, where decisions in portfolio allocation, derivative pricing, and risk management rely on estimating stochastic models from limited data. In practice, the…
We consider a linearized dynamical system modelling the flow rate of water along the rivers and hillslopes of an arbitrary watershed. The system is perturbed by a random rainfall in the form of a compound Poisson process. The model…
We propose a stochastic volatility model for time series of curves. It is motivated by dynamics of intraday price curves that exhibit both between days dependence and intraday price evolution. The curves are suitably normalized to…
We present a nonlinear stochastic differential equation (SDE) which mimics the probability density function (PDF) of the return and the power spectrum of the absolute return in financial markets. Absolute return as a measure of market…
A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inverted Wishart distribution to allow for different correlation…
Gaining and understanding the flow dynamics have much importance in a wide range of disciplines, e.g. astrophysics, geophysics, biology, mechanical engineering and biomedical engineering. As a reliable way in practice, especially for…