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Enrique Villamor and Pablo Olivares
In this paper we study the pricing of exchange options between two underlying assets whose dynamic show a stochastic correlation with random jumps. In particular, we consider a Ornstein-Uhlenbeck covariance model, with Levy Background Noise Processes dri...
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Zdenek Zme?kal, Dana Dluho?ová, Karolina Lisztwanová, Antonín Poncík and Iveta Ratmanová
The paper is focused on predicting the financial performance of a small open economy with an automotive industry with an above-standard share. The paper aims to predict the probability distribution of the decomposed relative economic value-added measure ...
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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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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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Gebrail Bekdas, Melda Yucel and Sinan Melih Nigdeli
Truss structures are one of the major civil engineering members studied in the optimization research area. In this area, various optimization applications such as topology, size, cost, weight, material usage, etc., can be conducted for different truss st...
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Edson Bastos e Santos,Nelson Ithiro Tanaka
Pág. 69 - 111
This article presents an alternative to modeling multidimensional options, where the payoffs depend on the paths of the trajectories of the underlying-asset prices. The proposed technique considers Lévy processes, a very ample class of stochastic process...
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Yang, Y. Klutke, G.-A.
Pág. 377 - 382
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