Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Guerra, Jo��o"'
Autor:
Guerreiro, Henrique, Guerra, Jo��o
The rBergomi model under the physical measure consists of modeling the log-variance as a truncated Brownian semi-stationary process. Then, a deterministic change of measure is applied. The rBergomi model is able to reproduce observed market SP500 smi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::95ed060b7978c22c423d7ce33eac904c
Autor:
Guerreiro, Henrique, Guerra, Jo��o
In stochastic Volterra rough volatility models, the volatility follows a truncated Brownian semi-stationary process with stochastic vol-of-vol. Recently, efficient VIX pricing Monte Carlo methods have been proposed for the case where the vol-of-vol i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::458c73b95842a064d8e9df2861db3256
Autor:
Guerra, Jo��o Victor da Silva, Ribeiro-Filho, Helder Veras, Jara, Gabriel Ernesto, Bortot, Leandro Oliveira, Pereira, Jos�� Geraldo de Carvalho, Lopes-de-Oliveira, Paulo S��rgio
Additional file 1. The Additional file 1 contains Table A1, Figures A1, A2, A3 and A4, and a detailed description of the molecular dynamics simulation of ADRP domain of SARS-CoV-2 and the benchmarking procedure. Table A1 reports the classes of amino
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7750f65d7a5878e5c44378997148de26
We present an approach for pricing European call options in presence of proportional transaction costs, when the stock price follows a general exponential L��vy process. The model is a generalization of the celebrated work of Davis, Panas and Zar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::564cef999be75c2b5a408f9b892f8f69
Autor:
Guerra, Jo��o, Nualart, David
We prove an existence and uniqueness theorem for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fractional Brownian motion with Hurst parameter H>1/2 and a multidimensional
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b39feed287a82895e291c40aa050723b