18 search results - page 2 / 4 » Modeling the Dynamics of Credit Spreads with Stochastic Vola... |
109
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CORR
2002
Springer
15 years 11 days 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 ...
100
Voted
HICSS
2002
IEEE
15 years 5 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 ...
93
Voted
AUTOMATICA
2006
15 years 18 days 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...
112
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CORR
2008
Springer
15 years 19 days 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...
99
Voted
AAAI
2010
15 years 1 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...