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[HTML][HTML] Geometric Brownian Motion (GBM) of stock indexes and financial market uncertainty in the context of non-crisis and financial crisis scenarios
The present article proposes a methodology for modeling the evolution of stock market
indexes for 2020 using geometric Brownian motion (GBM), but in which drift and diffusion …
indexes for 2020 using geometric Brownian motion (GBM), but in which drift and diffusion …
[PDF][PDF] Incorporating stochastic volatility and long memory into geometric Brownian motion model to forecast performance of Standard and Poor's 500 index
Incorporating stochastic volatility and long memory into geometric Brownian motion model to
forecast performance of Standard and Page 1 AIMS Mathematics, 8(8): 18581–18595. DOI …
forecast performance of Standard and Page 1 AIMS Mathematics, 8(8): 18581–18595. DOI …
Monetary and fiscal policy in times of crisis: a New Keynesian perspective in continuous time
To analyse the interdependence between monetary and fiscal policy during a financial
crisis, we develop an open‐economy DSGE model with monetary and fiscal policy, as well …
crisis, we develop an open‐economy DSGE model with monetary and fiscal policy, as well …
Bethe-Lattice Structure with Bilinear and Biquadratic Exchange Interactions: A Monte Carlo Study
In this paper, we study the magnetic and thermodynamic properties of the Bethe-Lattice
system using Monte Carlo simulations for the Heisenberg model. The magnetizations and …
system using Monte Carlo simulations for the Heisenberg model. The magnetizations and …
Efficient option pricing in crisis based on dynamic elasticity of variance model
C Fan, K **ang, P Chen - Discrete Dynamics in Nature and …, 2016 - Wiley Online Library
Market crashes often appear in daily trading activities and such instantaneous occurring
events would affect the stock prices greatly. In an unstable market, the volatility of financial …
events would affect the stock prices greatly. In an unstable market, the volatility of financial …
An alternative stochastic volatility model
Stochastic volatility modelling is of fundamental importance in financial risk management.
Among the most popular existing models in the literature are the Heston and the CEV …
Among the most popular existing models in the literature are the Heston and the CEV …
Monetary and Fiscal Policy in Times of Crises: A new Keynesian perspective in continuous time
B Hayo, B Niehof - 2014 - econstor.eu
To analyse the interdependence between monetary and fiscal policy during a financial
crisis, we develop an open-economy DSGE model with monetary and fiscal policy as well as …
crisis, we develop an open-economy DSGE model with monetary and fiscal policy as well as …
Analysis of monetary policy responses after financial market crises in a continuous time New Keynesian Model
B Hayo, B Niehof - 2014 - papers.ssrn.com
To analyse the interdependence between monetary policy and financial markets in the
context of the recent financial crisis, we use stochastic differential equations to develop a …
context of the recent financial crisis, we use stochastic differential equations to develop a …
VALUATION OF ASIAN OPTIONS IN A HIGH VOLATILITY MARKET WITH JUMPS
Z Khalid - 2023 - scholarworks.uaeu.ac.ae
The evaluation of financial derivatives represents a central part of financial risk
management. There are many types of derivatives among other path-dependent options. In …
management. There are many types of derivatives among other path-dependent options. In …
Price sensitivities for a general stochastic volatility model
We deal with the calculation of price sensitivities for stochastic volatility models. General
forms for the dynamics of the underlying asset price and its volatility are considered. We …
forms for the dynamics of the underlying asset price and its volatility are considered. We …