We propose a class of stochastic mean-reverting models for electricity prices with Levy process-driven Ornstein鈥揢hlenbeck (OU) processes being the building blocks. We first fit marginal distributions of power price series to two special classes of distributions defined by quantile functions (termed ...
A Levy process is a cadlag stochastic process that is infinitely divisible into independent and identically distributed random variables. It can be subdivided into finite and infinite activity Levy processes. Finite activity Levy processes include the Merton and the Kou jump-diffusion models. In Merton...
Mais leur processus de reconnaissance et de génération de données est statistique, ce qui signifie qu’ils ne peuvent pas organiser un monde, ils ne maîtrisent pas la conservation des objets, ils n’ont pas de compréhension du temps et de la causalité, ou de l’espace et de la g...
I understand the challenges companies face in finding tech talent and am here to facilitate that process. I enjoy simplifying bureaucratic processes and aim to offer a less obvious perspective on challenges. I advocate for the 'less is more' philosophy and believe it can be applied to all ...
Regional public administration actually involves institutional changes in regard to governance.It is a process of institutional change that breaks down an ... T Jin - 《Social Sciences in China》 被引量: 45发表: 2007年 Game Models of Behavior of Participants at Bankruptcy of the Organization In...
Research results show that our dynamic Levy process can depict the time-varying drift rate, conditional volatility and infinite activity styles. Meanwhile, Bayesian approach improves the option valuation ability of our model. Infinite jump models are significant superior and increase the pricing accuracy...
In contrast, the method proposed in this paper estimates the asset parameters in a completely different way, although the stock prices are still used in the estimation process. The proposed method evaluates a company’s asset value as a portfolio of equity and debt based on the balance sheet....
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[8]introducedthefractionalL6vyprocesses,restrictedtothecaseofL6vyprocesseswithzeromean,finitevari—anceandwithoutBrowniancomponents.In[4],theauthorsconstructedgeneralizedfractionalL6vyprocessesasL6vywhitenoisefunctionalsunderasimpleconditiononL6vymeasure.ThefractionalstableL6vyprocesswasstudiedbyLaskineta1.[]andSamor...
We mention the Cox- Ingersoll-Ross (CIR) process and the models of Barndorff-Nielsen and Shephard (see [6], [7], [8], and [9]) based on Ornstein-Uhlenbeck processes (OU-processes). We will not follow this approach, but focus on the introduction of the stochastic environment through...