𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Stochastic models of resonating markets

✍ Scribed by Carlo Lucheroni


Publisher
Springer-Verlag
Year
2009
Tongue
English
Weight
786 KB
Volume
5
Category
Article
ISSN
1860-711X

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Stock index futures markets: stochastic
✍ Robert G. Tompkins πŸ“‚ Article πŸ“… 2000 πŸ› John Wiley and Sons 🌐 English βš– 220 KB πŸ‘ 2 views

This study examined whether the inclusion of an appropriate stochastic volatility that captures key distributional and volatility facets of stock index futures is sufficient to explain implied volatility smiles for options on these markets. I considered two variants of stochastic volatility models r

Numerical treatment of stochastic models
✍ Ameen Alawneh; Kamel Al-Khaled πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 1021 KB

In this paper, by means of the variational iteration method, numerical solutions are computed for some stochastic models, without any linearization or weak assumptions. Two stochastic models, the Fokker-Planck equation for non-equilibrium statistical systems and the Black-Scholes model for pricing s