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Wilson Tsakane Mongwe, Rendani Mbuvha and Tshilidzi Marwala
Markov chain Monte Carlo (MCMC) techniques are usually used to infer model parameters when closed-form inference is not feasible, with one of the simplest MCMC methods being the random walk Metropolis?Hastings (MH) algorithm. The MH algorithm suffers fro...
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André Giudice de Oliveira,Vinicius Mothé Maia,Antonio Carlos Figueiredo Pinto,Marcelo Cabús Klotzle,Luiz Felipe Jarques da Motta
Pág. 44 - 64
This paper compares the BM&FBovespa reference option premiums with the Garman-Kohlhagen model, Corrado-Su modified model, Merton's jump-diffusion model, and Black modified model for skewness and kurtosis for pricing dollar options and Ibovespa futures. T...
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Yingxu Tian and Zhongyang Sun
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Isela Téllez León,Francisco Venegas Martínez,Abigail Rodríguez Nava
The aim of this paper is to examine how inflation volatility affects economic growth in a small open economy. To reach this goal, a stochastic macroeconomic model with a financial sector and incomplete financial markets (due to the inclusion of jumps) is...
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Wajih Abbasi,Petr Hájek,Diana Ismailova,Saira Yessimzhanova,Zouhaier Ben Khelifa,Kholnazar Amonov
Pág. 1918 - 1929
This research focuses on the empirical comparative analysis of three models of option pricing: a) the implied volatility daily calibrated Black-Scholes model, b) the Cox and Ross univariate model with the volatility which is a deterministic and inverse f...
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Jules Clément Mba, Sutene Mwambetania Mwambi and Edson Pindza
Since its inception in 2009, Bitcoin has increasingly gained main stream attention from the general population to institutional investors. Several models, from GARCH type to jump-diffusion type, have been developed to dynamically capture the price moveme...
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Albert R. Khalikov, Evgeny A. Sharapov, Vener A. Valitov, Elvina V. Galieva, Elena A. Korznikova and Sergey V. Dmitriev
Currently, an important fundamental problem of practical importance is the production of high-quality solid-phase compounds of various metals. This paper presents a theoretical model that allows one to study the diffusion process in nickel-base refractor...
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Andrei V. Panteleev and Anna A. Kolessa
A new bio-inspired method for optimizing the objective function on a parallelepiped set of admissible solutions is proposed. It uses a model of the behavior of tomtits during the search for food. This algorithm combines some techniques for finding the ex...
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Neil A. Wilmot
Financial times series, and commodity prices in particular, are known to exhibit fat tails in the distribution of prices. As with many natural resources price series, the arrival of new information can lead to unexpectedly rapid changes?or jump?in prices...
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Larry Press,William Foster,Peter Wolcott,William McHenry
Pág. pp. 41?60
With our colleagues in the Mosaic group, we have done several studies of the state of the Internet in India and in China beginning in 1998. These studies were conducted using a six-dimension framework we have developed for characterizing the state of the...
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Larry Press,William Foster,Peter Wolcott,William McHenry
Pág. pp. 41?60
With our colleagues in the Mosaic group, we have done several studies of the state of the Internet in India and in China beginning in 1998. These studies were conducted using a six-dimension framework we have developed for characterizing the state of the...
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