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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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Denis V. Makarov, Pavel S. Petrov and Michael Yu. Uleysky
The problem of sound propagation in a shallow sea with a rough sea bottom is considered. A random matrix approach for studying sound scattering by the water?bottom interface inhomogeneities is developed. This approach is based on the construction of a st...
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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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Qian-Wen Guo, Joseph Y.J. Chow, Paul Schonfeld
Pág. 380 - 399
The first analytical stochastic and dynamic model for optimizing transit service switching is proposed for ?smart transit? applications and for operating shared autonomous transit fleets. The model assumes a region that requires many-to-one last mile tra...
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Sheila Walbe Ornstein,Rosaria Ono,Maria Elisabete Lopes,Monteiro R.Z.,Gill A.A.,Machry H.S.
Pág. 13 - 25
out in 2005 and involved teachers and graduate students of the Faculty of Architecture and Urbanism of the same University of São Paulo. The work consisted of the application of various methods for evaluating performance in use and the final results were...
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Ornstein, D. Weiss, B.
Pág. 1694 - 1697
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