Zobrazeno 1 - 10
of 49
pro vyhledávání: '"Cozma, Andrei"'
This paper introduces a robust approach for automated defect detection in tire X-ray images by harnessing traditional feature extraction methods such as Local Binary Pattern (LBP) and Gray Level Co-Occurrence Matrix (GLCM) features, as well as Fourie
Externí odkaz:
http://arxiv.org/abs/2402.18527
Remote sensing images present unique challenges to image analysis due to the extensive geographic coverage, hardware limitations, and misaligned multi-scale images. This paper revisits the classical multi-scale representation learning problem but und
Externí odkaz:
http://arxiv.org/abs/2401.15855
Autor:
Cozma, Andrei, Reisinger, Christoph
In this short paper, we study the simulation of a large system of stochastic processes subject to a common driving noise and fast mean-reverting stochastic volatilities. This model may be used to describe the firm values of a large pool of financial
Externí odkaz:
http://arxiv.org/abs/2012.09726
Autor:
Cozma, Andrei
In this thesis, we study the FX option pricing problem and put forward a 4-factor hybrid stochastic-local volatility model. The model, which describes the dynamics of an exchange rate, its volatility and the domestic and foreign short rates, allows f
Externí odkaz:
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.729127
Autor:
Cozma, Andrei, Reisinger, Christoph
We consider a class of stochastic path-dependent volatility models where the stochastic volatility, whose square follows the Cox-Ingersoll-Ross model, is multiplied by a (leverage) function of the spot price, its running maximum, and time. We propose
Externí odkaz:
http://arxiv.org/abs/1706.07375
Autor:
Cozma, Andrei, Reisinger, Christoph
We study convergence properties of the full truncation Euler scheme for the Cox-Ingersoll-Ross process in the regime where the boundary point zero is inaccessible. Under some conditions on the model parameters (precisely, when the Feller ratio is gre
Externí odkaz:
http://arxiv.org/abs/1704.07321
We propose a novel and generic calibration technique for four-factor foreign-exchange hybrid local-stochastic volatility models with stochastic short rates. We build upon the particle method introduced by Guyon and Labord\`ere [Nonlinear Option Prici
Externí odkaz:
http://arxiv.org/abs/1701.06001
Autor:
Cozma, Andrei, Reisinger, Christoph
We analyze exponential integrability properties of the Cox-Ingersoll-Ross (CIR) process and its Euler discretizations with various types of truncation and reflection at 0. These properties play a key role in establishing the finiteness of moments and
Externí odkaz:
http://arxiv.org/abs/1601.00919
Autor:
Cozma, Andrei, Reisinger, Christoph
In this paper, the valuation of European and path-dependent options in foreign exchange (FX) markets is considered when the currency exchange rate evolves according to the Heston model combined with the Cox-Ingersoll-Ross dynamics for the stochastic
Externí odkaz:
http://arxiv.org/abs/1509.01479
We study the Heston-Cox-Ingersoll-Ross++ stochastic-local volatility model in the context of foreign exchange markets and propose a Monte Carlo simulation scheme which combines the full truncation Euler scheme for the stochastic volatility component
Externí odkaz:
http://arxiv.org/abs/1501.06084