Browsing by Subject "Stochastic process"
Now showing items 1-3 of 3
(2011)We provide an algebraic approach to the solution of the Stein-Stein model for stochastic volatility which arises in the determination of the Radon-Nikodym density of the minimal entropy of the martingale measure. We extend ...
(2009)A K-smoothing network is a distributed, low-contention data structure where tokens arrive arbitrarily on w input wires and reach w output wires via their completely asynchronous propagation through the network. The maximum ...
(2011)We provide the solutions for the Heston model of stochastic volatility when the parameters of the model are constant and when they are functions of time. In the former case, the solution follows immediately from the ...