APPML 2016 | Sciweavers

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APPML
2016

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Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model

8 years 8 months ago

We derive closed-form analytical approximations in terms of series expansions for option prices and implied volatilities in a 2-hypergeometric stochastic volatility model with cor...

Nicolas Privault, Qihao She

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APPML
2016

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Stationary solutions of the Vlasov-Fokker-Planck equation: Existence, characterization and phase-transition

8 years 8 months ago

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In this paper, we study the set of stationary solutions of the Vlasov-FokkerPlanck (VFP) equation. This equation describes the time evolution of the probability distribution of a ...

M. H. Duong, J. Tugaut

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APPML
2016

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Global boundedness of solutions to a quasilinear parabolic-parabolic Keller-Segel system with logistic source

8 years 8 months ago