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Showing 1 to 17 of 17 for “"Ornstein Uhlenbeck process"”.
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Cyclicity analysis of the Ornstein-Uhlenbeck process
Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2025-03-28 without embargo terms
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Geometric Asian option: Geometric Ornstein-Uhlenbeck process
… that the underlying asset follows a geometric Ornstein-Uhlenbeck process and provides an explicit formula for the geometric Asian options. The geometric Ornstein-Uhlenbeck process is more economically appropriate than the geometric Brownian motion for modelling commodity prices, exchange rates …
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Free products of operator spaces and free Markov processes
… of the two C*-algebras.</p><p>Free Markov processes are also investigated in Voiculescu's free probability theory. This highly non-commutative notion generalizes that of free Brownian motion and free Levy processes. Some free Markov processes are realized as solutions to free stochastic …
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Locational Spread Options with Stochastic Correlation
… for natural gas. We first derive a model with Ornstein–Uhlenbeck process between two spread assets with constant correlation and then a combination of the Ornstein–Uhlenbeck and Jacobi process is used to model a stochastic correlation. The Margrabe formula is employed to evaluate options prices …
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Default-free bond futures and options on default-free bond futures: Theoretical and empirical investigation
… two factors follow a linear transformation of an Ornstein-Uhlenbeck process. The prices of these contingent claims are solutions to a set of partial different equations subject to proper boundary conditions. As there is no closed form solutions to these equations, a finite-difference method, …
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Lie Analysis for Partial Differential Equations in Finance
… of rainfall by considering the mean reverting processes. As an example, the Ornstein Uhlenbeck process was proposed by Allen [3] to model yearly rainfall and by Unami et al. [52] to model the irregularity of rainfall intensity as well as duration of dry spells. By using the Feynman-Kac theorem …
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Statistical arbitrage in South African equity markets
… of returns, which is then modelled as an Ornstein Uhlenbeck process. The idiosyncratic process (referred to as the residual process) is estimated in discrete-time by an auto-regressive process with one lag (or AR(1) process). Trading signals are generated based on the level of the residual …
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Modelling and inference in active systems
… all disciplines of science. While the underlying processes driving these systems out of equilibrium (may that be thermal, chemical or another type of equilibrium) may be entirely unrelated, it is often the case that the same or a similar mathematical model is capable of describing either of the …
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Fractional stochastic volatility models: approximation, calibration and hedging
… which the volatility is driven by a fractional Ornstein-Uhlenbeck process with Hurst Index H greater than 1/2. We need to notice that perfect hedging cannot be achieved in non-Markovian fractional volatility framework, and thus we can only study imperfect delta-hedging strategy. We first proved …
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Modeling of electricity spot prices for derivative valuation : capturing volatility clustering and price jumps
… spot price is composed of two mean-reverting processes, a Gaussian process driven component and a jump component. The Gaussian component represents the regular, relatively small-scale changes while the jump part represents the occurrence of extreme events. We identify these extreme events as a …
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Numerical methods for weather derivatives pricing
… On rainfall derivatives pricing, the rainfall process is considered to be a stochastic, consisting of two random variables: one representing frequency, which is a two state Markov Chain, and the other representing the rainfall amount. Generally, these variables are modelled separately. The …
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Valuation of wind energy projects and statistical analysis of wind power
… power output are modeled using a mean reverting Ornstein - Uhlenbeck process whereby it is found that while wind speed is positively autocorrelated, the averaging period plays an important role in determining the nature and extent of the autocorrelation. Finally, the valuation is extended and …
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Network modelling for sexually transmitted diseases
… models are formulated in terms of a Markov process with a finite state space. Two main models are constructed and quantities of interest such as the basic reproduction number and endemic level of the sexually transmitted disease (STD) are obtained. The first model is formulated to describe …
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Fluctuations and mixing for planar random growth
… the boundary values of $\mathcal{F}$ perform an Ornstein-Uhlenbeck process on an infinite-dimensional Hilbert space, which can be characterised as the solution of a Stochastic Fractional Heat Equation. When the cluster is allowed to grow indefinitely, this boundary process converges to a …
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Multiserver queueing systems in heavy traffic
… is one in which the work to be done increases as processing capability increases. In this thesis, we characterize the behavior of two such large scale queueing systems. In the first part of the thesis we consider a Join the Shortest Queue (JSQ) policy in the so-called Halfin-Whitt heavy traffic …
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From Genes to Traits and Ecosystems: Evolutionary Ecology of <i>Sphagnum</i> (Peat Moss)
… trait. The best model was a multiple-peak Ornstein-Uhlenbeck process wherein the predominantly hummock and hollow clades of <i>Sphagnum</i> possess separate adaptive optima towards which trait values are pulled. Furthermore, the results suggest that shifts in trait optima occurred …