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An approximate inverse preconditioner for spatial fractional diffusion equations with piecewise continuous coefficients Journal article
International Journal of Computer Mathematics, 2019
Authors:  Fang,Zhi Wei;  Sun,Hai Wei;  Wei,Hui Qin
Favorite  |  View/Download:18/0  |  Submit date:2019/05/27
Approximate Inverse  Circulant Matrix  Fast Fourier Transform  Fractional Diffusion Equation  Krylov Subspace Methods  Piecewise Continuous Coefficients  Toeplitz Matrix  
Bond and option pricing for interest rate model with clustering effects Journal article
QUANTITATIVE FINANCE, 2018,Volume: 18,Issue: 6,Page: 969-981
Authors:  Zhang, Xin;  Xiong, Jie;  Shen, Yang
Favorite  |  View/Download:17/0  |  Submit date:2018/10/30
Interest rate modelling  Marked point process  Hawkes processes  Bond pricing  Bond option  
A MnO2 nanosheet-assisted GSH detection platform using an iridium(III) complex as a switch-on luminescent probe Journal article
NANOSCALE, 2017,Volume: 9,Issue: 14,Page: 4677-4682
Authors:  Dong, Zhen-Zhen;  Lu, Lihua;  Ko, Chung-Nga;  Yang, Chao;  Li, Shengnan;  Lee, Ming-Yuen;  Leung, Chung-Hang;  Ma, Dik-Lung
View  |  Adobe PDF(1760Kb)  |  Favorite  |  View/Download:368/33  |  Submit date:2018/10/30
Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes Journal article
STATISTICS & PROBABILITY LETTERS, 2017,Volume: 123,Page: 8-16
Authors:  Djouadi, Seddik M.;  Maroulas, Vasileios;  Pan, Xiaoyang;  Xiong, Jie
Favorite  |  View/Download:15/0  |  Submit date:2018/10/30
Consistency  Asymptotic normality  Jump diffusions  Least-squares estimator  Poisson processes  Partially observed system  
Testing for pure-jump processes for high-frequency data Journal article
Annals of Statistics, 2015,Volume: 43,Issue: 2,Page: 847
Authors:  Kong X.-B.;  Liu Z.;  Jing B.-Y.
Favorite  |  View/Download:2/0  |  Submit date:2018/10/30
Integrated volatility  Itô semimartingale  Pure-jump process  Realized characteristic function  
Preconditioned iterative methods for fractional diffusion models in finance Journal article
Numerical Methods for Partial Differential Equations, 2014,Volume: 31,Issue: 5,Page: 1382-1395
Authors:  Qing-Jiang Meng;  Deng Ding;  Qin Sheng
Favorite  |  View/Download:7/0  |  Submit date:2019/05/22
Crank-nicolson Discretization  Fast Fourier Transform  Fractional Partial Derivatives  Lévy Process  Preconditioning Method  Toeplitz Matrix  
Quadratic finite element and preconditioning methods for options pricing in the SVCJ model Journal article
Journal of Computational Finance, 2014,Volume: 17,Issue: 3,Page: 3-30
Authors:  Zhang Y.-Y.;  Pang H.-K.;  Feng L.;  Jin X.-Q.
Favorite  |  View/Download:16/0  |  Submit date:2019/02/11
Jump Diffusion-processes  Stochastic Volatility  American Options  Returns  Systems  Assets  
Evaluating the hedging error in price processes with jumps present Journal article
Statistics and its Interface, 2013,Volume: 6,Issue: 4,Page: 413-425
Authors:  Jing B.Y.;  Kong X.B.;  Liu Z.;  Zhang B.
Favorite  |  View/Download:3/0  |  Submit date:2019/02/14
Hedging Strategy  Jump Diffusion  Quadratic Variation  Realized Bipower Variation  Thresholdvariation  Variation Of Time  Volatility  
Efficient rainbow options pricing methods based on two-dimensional fourier series expansions Conference paper
Applied Mechanics and Materials, Kunming, PEOPLES R CHINA, JUL 17-19, 2013
Authors:  Deng Ding;  Qingjiang Meng;  Jiayu Zheng
Favorite  |  View/Download:13/0  |  Submit date:2019/02/13
Call-on-maximum Option  Gbm Model  Jump-diffusion Model  Put-on-minimum  Two-dimensional Modified Fourier Expansions  
Tri-diagonal preconditioner for pricing options Journal article
Journal of Computational and Applied Mathematics, 2012,Volume: 236,Issue: 17,Page: 4365-4374
Authors:  Pang H.-K.;  Zhang Y.-Y.;  Jin X.-Q.
Favorite  |  View/Download:7/0  |  Submit date:2019/02/11
European Call Option  Family Of Generating Functions  Nonsymmetric Toeplitz System  Normalized Preconditioned System  Partial Integro-differential Equation  Tri-diagonal Preconditioner