FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2078600259> ?p ?o ?g. }

• W2078600259 abstract "We solve the first-passage problem for the Heston random diffusion model. We obtain exact analytical expressions for the survival and hitting probabilities to a given level of return. We study several asymptotic behaviors and obtain approximate forms of these probabilities which prove, among other interesting properties, the non-existence of a mean first-passage time. One significant result is the evidence of extreme deviations --which implies a high risk of default-- when certain dimensionless parameter, related to the strength of the volatility fluctuations, increases. We believe that this may provide an effective tool for risk control which can be readily applicable to real markets." @default.
• W2078600259 created "2016-06-24" @default.
• W2078600259 creator A5004715450 @default.
• W2078600259 creator A5093039163 @default.
• W2078600259 date "2009-07-13" @default.
• W2078600259 modified "2023-10-16" @default.
• W2078600259 title "First-passage and risk evaluation under stochastic volatility" @default.
• W2078600259 cites W1556192255 @default.
• W2078600259 cites W1595314118 @default.
• W2078600259 cites W1975760144 @default.
• W2078600259 cites W1980065916 @default.
• W2078600259 cites W2003650675 @default.
• W2078600259 cites W2012330854 @default.
• W2078600259 cites W2022296430 @default.
• W2078600259 cites W2024163429 @default.
• W2078600259 cites W2025171835 @default.
• W2078600259 cites W2033980839 @default.
• W2078600259 cites W2038465616 @default.
• W2078600259 cites W2041015007 @default.
• W2078600259 cites W2048421273 @default.
• W2078600259 cites W2064978316 @default.
• W2078600259 cites W2066399359 @default.
• W2078600259 cites W2071361295 @default.
• W2078600259 cites W2092144432 @default.
• W2078600259 cites W2100011707 @default.
• W2078600259 cites W2100085225 @default.
• W2078600259 cites W2109373961 @default.
• W2078600259 cites W2117019869 @default.
• W2078600259 cites W2120367138 @default.
• W2078600259 cites W2128832002 @default.
• W2078600259 cites W2140049483 @default.
• W2078600259 cites W2152692424 @default.
• W2078600259 cites W2160182528 @default.
• W2078600259 cites W2168586183 @default.
• W2078600259 cites W2260971366 @default.
• W2078600259 cites W2329986772 @default.
• W2078600259 cites W2473390144 @default.
• W2078600259 cites W2488678869 @default.
• W2078600259 cites W2762951684 @default.
• W2078600259 cites W2947171186 @default.
• W2078600259 cites W3101884700 @default.
• W2078600259 cites W3102713832 @default.
• W2078600259 cites W3121726954 @default.
• W2078600259 cites W3122998315 @default.
• W2078600259 cites W3124487094 @default.
• W2078600259 cites W3125246470 @default.
• W2078600259 cites W3125925291 @default.
• W2078600259 cites W4236751433 @default.
• W2078600259 doi "https://doi.org/10.1103/physreve.80.016108" @default.
• W2078600259 hasPubMedId "https://pubmed.ncbi.nlm.nih.gov/19658775" @default.
• W2078600259 hasPublicationYear "2009" @default.
• W2078600259 type Work @default.
• W2078600259 sameAs 2078600259 @default.
• W2078600259 citedByCount "44" @default.
• W2078600259 countsByYear W20786002592012 @default.
• W2078600259 countsByYear W20786002592013 @default.
• W2078600259 countsByYear W20786002592014 @default.
• W2078600259 countsByYear W20786002592015 @default.
• W2078600259 countsByYear W20786002592016 @default.
• W2078600259 countsByYear W20786002592017 @default.
• W2078600259 countsByYear W20786002592018 @default.
• W2078600259 countsByYear W20786002592019 @default.
• W2078600259 countsByYear W20786002592020 @default.
• W2078600259 countsByYear W20786002592021 @default.
• W2078600259 countsByYear W20786002592022 @default.
• W2078600259 countsByYear W20786002592023 @default.
• W2078600259 crossrefType "journal-article" @default.
• W2078600259 hasAuthorship W2078600259A5004715450 @default.
• W2078600259 hasAuthorship W2078600259A5093039163 @default.
• W2078600259 hasBestOaLocation W20786002592 @default.
• W2078600259 hasConcept C121332964 @default.
• W2078600259 hasConcept C121864883 @default.
• W2078600259 hasConcept C149782125 @default.
• W2078600259 hasConcept C187625094 @default.
• W2078600259 hasConcept C24872484 @default.
• W2078600259 hasConcept C28826006 @default.
• W2078600259 hasConcept C33923547 @default.
• W2078600259 hasConcept C85393063 @default.
• W2078600259 hasConcept C91602232 @default.
• W2078600259 hasConcept C93045229 @default.
• W2078600259 hasConcept C97355855 @default.
• W2078600259 hasConceptScore W2078600259C121332964 @default.
• W2078600259 hasConceptScore W2078600259C121864883 @default.
• W2078600259 hasConceptScore W2078600259C149782125 @default.
• W2078600259 hasConceptScore W2078600259C187625094 @default.
• W2078600259 hasConceptScore W2078600259C24872484 @default.
• W2078600259 hasConceptScore W2078600259C28826006 @default.
• W2078600259 hasConceptScore W2078600259C33923547 @default.
• W2078600259 hasConceptScore W2078600259C85393063 @default.
• W2078600259 hasConceptScore W2078600259C91602232 @default.
• W2078600259 hasConceptScore W2078600259C93045229 @default.
• W2078600259 hasConceptScore W2078600259C97355855 @default.
• W2078600259 hasIssue "1" @default.
• W2078600259 hasLocation W20786002591 @default.
• W2078600259 hasLocation W20786002592 @default.
• W2078600259 hasLocation W20786002593 @default.
• W2078600259 hasLocation W20786002594 @default.
• W2078600259 hasOpenAccess W2078600259 @default.
• W2078600259 hasPrimaryLocation W20786002591 @default.
• W2078600259 hasRelatedWork W1567728938 @default.

• next