相关论文: Linear Predictive Coding as an Estimator of Volati…

In this paper, a new way to integrate volatility information for estimating value at risk (VaR) and conditional value at risk (CVaR) of a portfolio is suggested. The new method is developed from the perspective of Bayesian statistics and it…

The collateral choice option allows a collateral-posting party the opportunity to change the type of security in which the collateral is deposited. Due to non-zero collateral basis spreads, this optionality significantly impacts asset…

The paper considers a stabilizing stochastic control which can be applied to a variety of unstable and even chaotic maps. Compared to previous methods introducing control by noise, we relax assumptions on the class of maps, as well as…

Stock market volatility forecasting is a task relevant to assessing market risk. We investigate the interaction between news and prices for the one-day-ahead volatility prediction using state-of-the-art deep learning approaches. The…

We consider discrete time models for asset prices with a stationary volatility process. We aim at estimating the multivariate density of this process at a set of consecutive time instants. A Fourier type deconvolution kernel density…

An appropriate calibration and forecasting of volatility and market risk are some of the main challenges faced by companies that have to manage the uncertainty inherent to their investments or funding operations such as banks, pension funds…

Several studies have shown that deep learning models can provide more accurate volatility forecasts than the traditional methods used within this domain. This paper presents a composite model that merges a deep learning approach with…

This paper presents how to apply the stochastic collocation technique to assets that can not move below a boundary. It shows that the polynomial collocation towards a lognormal distribution does not work well. Then, the potentials issues of…

We construct a statistical indicator for the detection of short-term asset price bubbles based on the information content of bid and ask market quotes for plain vanilla put and call options. Our construction makes use of the martingale…

In this paper we consider a fractional stochastic volatility model, that is a model in which the volatility may exhibit a long-range dependent or a rough/antipersistent behavior. We propose a dynamic sequential Monte Carlo methodology that…

We express the probabilistic character associated to the wave function by treating it as a stochastic variable. This is accomplished by means of a stochastic equation for the wave function whose noise changes the phase of the wave function…

We consider the problem of stabilization of a linear system, under state and control constraints, and subject to bounded disturbances and unknown parameters in the state matrix. First, using a simple least square solution and available…

In stochastic decision problems, one often wants to estimate the underlying probability measure statistically, and then to use this estimate as a basis for decisions. We shall consider how the uncertainty in this estimation can be…

This brief introduction to Model Predictive Control specifically addresses stochastic Model Predictive Control, where probabilistic constraints are considered. A simple linear system subject to uncertainty serves as an example. The Matlab…

Stochastic resonance describes the utility of noise in improving the detectability of weak signals in certain types of systems. It has been observed widely in natural and engineered settings, but its utility in image classification with…

The concept of stochastic Lagrangian and its use in statistical dynamics is illustrated theoretically, and with some examples. Dynamical variables undergoing stochastic differential equations are stochastic processes themselves, and their…

In this paper, we focus on the estimation of historical volatility of asset prices from high-frequency data. Stochastic volatility models pose a major statistical challenge: since in reality historical volatility is not observable, its…

In this paper, we consider an anticipative nonlinear filtering problem, in which the observation noise is correlated with the past of the signal. This new signal-observation model has its applications in both finance models with insider…

We consider a method of lines (MOL) approach to determine prices of European and American exchange options when underlying asset prices are modelled with stochastic volatility and jump-diffusion dynamics. As the MOL, as with any other…

Cryptocurrency markets are characterized by extreme volatility, making accurate forecasts essential for effective risk management and informed trading strategies. Traditional deterministic (point) forecasting methods are inadequate for…