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The Dynamics of Stochastic Volatility: Evidence from Underlying and Option Markets
, 2000
"... This paper proposes and estimates a more general parametric stochastic variance model of equity index returns than has been previously considered using data from both underlying and options markets. The parameters of the model under both the objective and riskneutral measures are estimated simultane ..."
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Cited by 159 (3 self)
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simultaneously. I conclude that the square root stochastic variance model of Heston (1993) and others is incapable of generating realistic returns behavior and find that the data are more accurately represented by a stochastic variance model in the CEV class or a model that allows the price and variance
Pricing Step Options under the CEV and other Solvable Diffusion Models
, 2013
"... We consider a special family of occupationtime derivatives, namely proportional step options introduced by Linetsky in [Math. Finance, 9, 55–96 (1999)]. We develop new closedform spectral expansions for pricing such options under a class of nonlinear volatility diffusion processes which includes ..."
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We consider a special family of occupationtime derivatives, namely proportional step options introduced by Linetsky in [Math. Finance, 9, 55–96 (1999)]. We develop new closedform spectral expansions for pricing such options under a class of nonlinear volatility diffusion processes which
Equational and implicational classes of coalgebras
, 2001
"... If F: Set → Set is a functor which is bounded and preserves weak generalized pullbacks then a class of Fcoalgebras is a covariety, i.e., closed under H (homomorphic images), S (subcoalgebras) and � (sums), if and only if it can be de ned by a set of “coequations”. Similarly, quasicovarieties, i.e ..."
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Cited by 8 (3 self)
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.e., classes closed under H and � , can be characterized by implications of coequations. These results are analogous to the theorems of Birkhoff and of Mal’cev in classical
Equational and implicational classes of coalgebras (Extended Abstract)
"... If T: Set! Set is a functor which is bounded and preserves weak pullbacks then a class of Tcoalgebras is acovariety, i.e closed under H (homomorphic images), S (subcoalgebras) and (sums), if and only if it can be de ned by a set of "coequations". Similarly, classes closed under H and can ..."
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Cited by 3 (0 self)
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If T: Set! Set is a functor which is bounded and preserves weak pullbacks then a class of Tcoalgebras is acovariety, i.e closed under H (homomorphic images), S (subcoalgebras) and (sums), if and only if it can be de ned by a set of "coequations". Similarly, classes closed under H
A POLYNOMIAL CHARACTERIZATION OF CONGRUENCE CLASSES
"... Abstract Let V be a regular and permutable variety and A = (A, F ) ∈ V. Let ∅ = C ⊆ A. We get an explicite list L of polynomials such that C is a congruence class of some θ ∈ Con A iff C is closed under all terms of L. Morevover, if V is of a finite similarity type, L is finite. If also A ∈ V is fi ..."
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) be an algebra, let ∅ = C ⊆ A. It was proved by A. I. Mal 'cev [5] that C is a class of some θ ∈ Con A if and only if either τ (C) ∩ C = ∅ or τ (C) ⊆ C for any translation of A. Let us recall that by a translation is in [5] meant a unary polynomial. Although this characterization is simple and very useful
Chajda I.: A polynomial characterization of congruence classes
 Algebra Universalis
"... Let V be a regular and permutable variety and A = (A;F) 2 V. Let; 6 = C A. We get an explicite list L of polynomials such that C is a congruence class of some 2 ConA i C is closed under all terms of L. Morevover, if V is of a nite similarity type, L is nite. If also A 2 V is nite, all polynomials ..."
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Cited by 1 (1 self)
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. It was proved by A. I. Mal'cev [5] that C is a class of some 2 ConA if and only if either (C) \ C = ; or (C) C for any translation of A. Let us recall that by a translation is in [5] meant a unary polynomial. Although this characterization is simple and very useful thourough general algebra, its
Equational Formulae with Membership Constraints
 Information and Computation
, 1994
"... We propose a set of transformation rules for first order formulae whose atoms are either equations between terms or "membership constraints" t 2 i. i can be interpreted as a regular tree language (i is called a sort in the algebraic specification community) or as a tree language in any cla ..."
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Cited by 39 (3 self)
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class of languages which satisfies some adequate closure and decidability properties. This set of rules is proved to be correct, terminating and complete. This provides a quantifier elimination procedure: for every regular tree language L, the first order theory of some structure defining L is decidable
Fast strong approximation MonteCarlo schemes for stochastic volatility models
 Working Paper, ABN AMRO
, 2006
"... Abstract Numerical integration methods for stochastic volatility models in financial markets are discussed. We concentrate on two classes of stochastic volatility models where the volatility is either directly given by a meanreverting CEV process or as a transformed OrnsteinUhlenbeck process. For ..."
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Cited by 16 (2 self)
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Abstract Numerical integration methods for stochastic volatility models in financial markets are discussed. We concentrate on two classes of stochastic volatility models where the volatility is either directly given by a meanreverting CEV process or as a transformed OrnsteinUhlenbeck process
Maximally complete fields
 Enseign. Math
, 1993
"... Abstract. Kaplansky proved in 1942 that among all fields with a valuation having a given divisible value group G, a given algebraically closed residue field R, and a given restriction to the minimal subfield (either the trivial valuation on Q or Fp, or the padic valuation on Q), there is one that i ..."
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Cited by 4 (0 self)
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are formal series of the form ∑ g∈S αgpg where S is a wellordered subset of G and the αg’s are residue class representatives. We conclude with some remarks on the padic Mal’cevNeumann field containing ¯ Qp. 1.
INTERNAL PROFUNCTORS AND COMMUTATOR THEORY; APPLICATIONS TO EXTENSIONS CLASSIFICATION AND CATEGORICAL GALOIS THEORY
"... Abstract. We clarify the relationship between internal profunctors and connectors on pairs (R, S) of equivalence relations which originally appeared in the new profunctorial approach of the SchreierMac Lane extension theorem [11]. This clarification allows us to extend this SchreierMac Lane theore ..."
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Cited by 4 (1 self)
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theorem to any exact Mal’cev category with centralizers. On the other hand, still in the Mal’cev context and in respect to the categorical Galois theory associated with a reflection I, it allows us to produce the faithful action of a certain abelian group on the set of classes (up to isomorphism) of I
Results 1  10
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44