نتایج جستجو برای: jump diffusion model

تعداد نتایج: 2244074  

2015
Kianoush Fathi Vajargah

An available method of modeling and predicting the economic time series is the use of stochastic differential equations, which are often determined as jump-diffusion stochastic differential equations in financial markets and underlier economic dynamics. Besides the diffusion term that is a geometric Brownian model with Wiener random process, these equations contain a jump term that follows Pois...

2012
Somayeh Moazeni Thomas F. Coleman Yuying Li

In the execution cost problem, an investor wants to minimize the total expected cost and risk in the execution of a portfolio of risky assets to achieve desired positions. A major source of the execution cost comes from price impacts of both the investor’s own trades and other concurrent institutional trades. Indeed price impact of large trades have been considered as one of the main reasons fo...

2017
Weijun Xu Guifang Liu Hongyi Li

This article contains datasets related to the research article titled a novel jump diffusion model based on SGT distribution and its applications ("A novel jump diffusion model based on SGT distribution and its applications" (W.J. Xu, G.F. Liu, H.Y. Li, 2016) [1]). The datasets contain continuous composite daily percentage return values which are computed from the daily closing prices. Firstly,...

Journal: :Journal of computational physics 2015
Per Lötstedt Lina Meinecke

In molecular biology it is of interest to simulate diffusion stochastically. In the mesoscopic model we partition a biological cell into unstructured subvolumes. In each subvolume the number of molecules is recorded at each time step and molecules can jump between neighboring subvolumes to model diffusion. The jump rates can be computed by discretizing the diffusion equation on that unstructure...

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