18 search results - page 2 / 4 » Modeling the Dynamics of Credit Spreads with Stochastic Vola... |
CORR
2002
Springer
13 years 10 months ago
2002
Springer
In a seminal paper in 1973, Black and Scholes argued how expected distributions of stock prices can be used to price options. Their model assumed a directed random motion for the ...
HICSS
2002
IEEE
14 years 3 months ago
2002
IEEE
We propose a class of alternative stochastic volatility models for electricity prices using the quantile function modeling approach. Specifically, we fit marginal distributions ...
AUTOMATICA
2006
13 years 11 months ago
2006
This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize7 market and capital adequacy risk that in...
CORR
2008
Springer
13 years 11 months ago
2008
Springer
We introduce a general stochastic model for the spread of rumours, and derive mean-field equations that describe the dynamics of the model on complex social networks (in particula...
AAAI
2010
13 years 12 months ago
2010
Diffusion processes taking place in social networks are used to model a number of phenomena, such as the spread of human or computer viruses, and the adoption of products in `vira...