Risk

Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous-time mean–variance asset allocation under stochastic volatility

We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...
Risk

Modeling energy spreads with a generalized novel mean-reverting stochastic process

The spread between two related energy prices is a very important quantity throughout energy finance. Of particular interest are spreads between different energy types, different delivery points ...
uni

Theory of stochastic processes

Stochastic processes are at the center of probability theory, both from a theoretical and an applied viewpoint. Stochastic processes have applications in many disciplines such as physics, computer ...
JSTOR Daily

A Finite-State Continuous-Time Approach for Inferring Regional Migration and Mortality Rates from Archival Tagging and Conventional Tag-Recovery Experiments

Spatially structured population dynamics models are important management tools for harvested, highly mobile species and although conventional tag recovery experiments remain useful for estimation of ...