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This paper develops a systematic method for calculating approximate prices for a wide range of securities implying the tools of spectral analysis, singular and regular perturbation theory. Price options depend on stochas...

Barndorff‑Nielsen and Shephard (2001) proposed a class of stochastic volatility models in which the volatility process is the Ornstein‑Uhlenbeck process driven by a Levy process without gaussian component. Parameter ...

I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I in...

This paper analyses the relationship between major cryptocurrencies (Bitcoin, Ethereum, and Tether) and selected regional equity markets of America, Asia, and Europe, while controlling for global financial factors includ...

Previous article Next article Fractional Brownian Motions, Fractional Noises and ApplicationsBenoit B. Mandelbrot and John W. Van NessBenoit B. Mandelbrot and John W. Van Nesshttps://doi.org/10.1137/1010093PDFBibTexSecti...

The main aim of the article is to present a new forecasting technique, applicable in case of intermittent demand. To present properties of this new technique, the accuracy of the predictions generated by the Croston’s ...

Understanding how semantic information flow reorganizes market topology remains an open challenge in financial network analysis. Prior work typically emphasizes price correlations or sentiment polarity, but rarely quanti...

Forecasting vaccine demand and determining inventory policies are critical challenges in healthcare supply chains, where uncertainty poses significant operational risks. This study proposes a two-step data-driven framewo...

Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) proce...

The authors present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns. The unpredictability ...