mdh.sePublications
Change search
Link to record
Permanent link

Direct link
BETA
Malyarenko, AnatoliyORCID iD iconorcid.org/0000-0002-0139-0747
Alternative names
Publications (10 of 52) Show all publications
Betuel, C., Malyarenko, A., Ni, Y., Rancic, M. & Silvestrov, S. (2018). Calibration of Multiscale Two-Factor Stochastic Volatility Models: A Second-Order Asymptotic Expansion Approach. In: Christos H Skiadas (Ed.), : . Paper presented at SMTDA2018 5th Stochastic Modeling Techniques and Data Analysis International Conference - SMTDA 2018, Crete, Greece. ISAST: International Society for the Advancement of Science and Technology
Open this publication in new window or tab >>Calibration of Multiscale Two-Factor Stochastic Volatility Models: A Second-Order Asymptotic Expansion Approach
Show others...
2018 (English)In: / [ed] Christos H Skiadas, ISAST: International Society for the Advancement of Science and Technology , 2018Conference paper, Oral presentation with published abstract (Refereed)
Abstract [en]

The development of financial markets imposes more complex models on the option pricing problems. On the previous papers by the authors, we consider a model under which the underlying asset is driven by two independent Heston-type stochastic volatility processes of multiscale (fast and slow) mean-reverting rates and we compute an approximate solution for the option pricing problem, using asymptotic expansion method. In the present paper, we aim to calibrate the model using the market prices of options on Euro Stoxx 50 index and an equity stock in the European market. Our approach is to use the market implied volatility surface for calibrating directly a set of new parameters required in our second-order asymptotic expansion pricing formula for European options. This secondorder asymptotic expansion formula provides a better approximation formula for European option prices than the first-order formula, as explained in an earlier work of the authors.

Place, publisher, year, edition, pages
ISAST: International Society for the Advancement of Science and Technology, 2018
Keywords
Option pricing model, asymptotic expansion of option price, stochastic volatility model, multiscale stochastic volatility, calibration
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-41091 (URN)978-618-5180-27-0 (ISBN)978-618-5180-29-4 (ISBN)
Conference
SMTDA2018 5th Stochastic Modeling Techniques and Data Analysis International Conference - SMTDA 2018, Crete, Greece
Available from: 2018-09-30 Created: 2018-09-30 Last updated: 2018-10-01Bibliographically approved
Silvestrov, S., Hössjer, O., Malyarenko, A. & Mishura, Y. (2018). Dmitrii S. Silvestrov. In: Sergei Silvestrov Anatoliy Malyarenko Milica Rančić (Ed.), Stochastic Processes and Applications: SPAS2017, Västerås and Stockholm, Sweden, October 4-6, 2017. Paper presented at International Conference on “Stochastic Processes and Algebraic Structures – From Theory Towards Applications”, SPAS 2017; Västerås and Stockholm; Sweden; 4 October 2017 through 6 October 2017; Code 221789 (pp. 1-4). Paper presented at International Conference on “Stochastic Processes and Algebraic Structures – From Theory Towards Applications”, SPAS 2017; Västerås and Stockholm; Sweden; 4 October 2017 through 6 October 2017; Code 221789. Springer, 271
Open this publication in new window or tab >>Dmitrii S. Silvestrov
2018 (English)In: Stochastic Processes and Applications: SPAS2017, Västerås and Stockholm, Sweden, October 4-6, 2017 / [ed] Sergei Silvestrov Anatoliy Malyarenko Milica Rančić, Springer, 2018, Vol. 271, p. 1-4Chapter in book (Refereed)
Abstract [en]

This chapter presents short biographical notes about Professor Dmitri S. Silvestrov.

Place, publisher, year, edition, pages
Springer, 2018
Series
Springer Proceedings in Mathematics and Statistics, ISSN 2194-1009 ; 271
Keywords
Kiev University, Luleå Technical University, Mälardalen University, Stockholm University, Umeå University, Random processes, Technical universities, Stochastic systems
National Category
Mathematics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-41832 (URN)10.1007/978-3-030-02825-1_1 (DOI)2-s2.0-85058563975 (Scopus ID)978-3-030-02824-4 (ISBN)
Conference
International Conference on “Stochastic Processes and Algebraic Structures – From Theory Towards Applications”, SPAS 2017; Västerås and Stockholm; Sweden; 4 October 2017 through 6 October 2017; Code 221789
Available from: 2018-12-27 Created: 2018-12-27 Last updated: 2018-12-31Bibliographically approved
Silvestrov, S., Malyarenko, A. & Rančić, M. (2018). Preface. In: Sergei Silvestrov, Anatoliy Malyarenko, Milica Rančić (Ed.), Stochastic Processes and Applications: SPAS2017, Västerås and Stockholm, Sweden, October 4-6, 2017 (pp. vii-x). Springer, 271
Open this publication in new window or tab >>Preface
2018 (English)In: Stochastic Processes and Applications: SPAS2017, Västerås and Stockholm, Sweden, October 4-6, 2017 / [ed] Sergei Silvestrov, Anatoliy Malyarenko, Milica Rančić, Springer, 2018, Vol. 271, p. vii-xChapter in book (Refereed)
Place, publisher, year, edition, pages
Springer, 2018
Series
Springer Proceedings in Mathematics and Statistics, ISSN 2194-1009
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-41831 (URN)2-s2.0-85058576948 (Scopus ID)978-3-030-02824-4 (ISBN)978-3-030-02825-1 (ISBN)
Available from: 2018-12-27 Created: 2018-12-27 Last updated: 2019-01-15Bibliographically approved
Malyarenko, A. & Ostoja-Starzewski, M. (2018). Random fields related to the symmetry classes of second-order symmetric tensors. In: Sergei Silvestrov, Anatoliy Malyarenko, Milica Rančić (Ed.), Stochastic Processes and Applications: SPAS2017, Västerås and Stockholm, Sweden, October 4-6, 2017. Paper presented at International Conference on “Stochastic Processes and Algebraic Structures – From Theory Towards Applications”, SPAS 2017; Västerås and Stockholm; Sweden; 4 October 2017 through 6 October 2017; Code 221789 (pp. 173-185). Paper presented at International Conference on “Stochastic Processes and Algebraic Structures – From Theory Towards Applications”, SPAS 2017; Västerås and Stockholm; Sweden; 4 October 2017 through 6 October 2017; Code 221789. Springer, 271
Open this publication in new window or tab >>Random fields related to the symmetry classes of second-order symmetric tensors
2018 (English)In: Stochastic Processes and Applications: SPAS2017, Västerås and Stockholm, Sweden, October 4-6, 2017 / [ed] Sergei Silvestrov, Anatoliy Malyarenko, Milica Rančić, Springer, 2018, Vol. 271, p. 173-185Chapter in book (Refereed)
Abstract [en]

Under the change of basis in the three-dimensional space by means of an orthogonal matrix g, a matrix A of a linear operator is transformed as A → gAg-1 Mathematically, the stationary subgroup of a symmetric matrix under the above action can be either (Formula Presented), when all three eigenvalues of A are different, or (Formula Presented), when two of them are equal, or O(3), when all three eigenvalues are equal. Physically, one typical application relates to dependent quantities like a second-order symmetric stress (or strain) tensor. Another physical setting is that of dependent fields, such as conductivity with such three cases is the conductivity (or, similarly, permittivity, or anti-plane elasticity) second-rank tensor, which can be either orthotropic, transversely isotropic, or isotropic. For each of the above symmetry classes, we consider a homogeneous random field taking values in the fixed point set of the class that is invariant with respect to the natural representation of a certain closed subgroup of the orthogonal group. Such fields may model stochastic heat conduction, electric permittivity, etc. We find the spectral expansions of the introduced random fields.

Place, publisher, year, edition, pages
Springer, 2018
Series
Springer Proceedings in Mathematics and Statistics, ISSN 2194-1009 ; 271
Keywords
Random field, Spectral expansion, Symmetry class, Eigenvalues and eigenfunctions, Expansion, Heat conduction, Mathematical operators, Permittivity, Random processes, Stochastic models, Stochastic systems, Tensors, Electric permittivities, Natural representation, Random fields, Spectral expansions, Three dimensional space, Transversely isotropic, Typical application, Matrix algebra
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-41836 (URN)10.1007/978-3-030-02825-1_10 (DOI)2-s2.0-85058569471 (Scopus ID)9783030028244 (ISBN)
Conference
International Conference on “Stochastic Processes and Algebraic Structures – From Theory Towards Applications”, SPAS 2017; Västerås and Stockholm; Sweden; 4 October 2017 through 6 October 2017; Code 221789
Available from: 2018-12-27 Created: 2018-12-27 Last updated: 2018-12-31Bibliographically approved
Malyarenko, A. (2018). Spectral expansions of random sections of homogeneous vector bundles. Theory of Probability and Mathematical Statistics, 97, 151-165
Open this publication in new window or tab >>Spectral expansions of random sections of homogeneous vector bundles
2018 (English)In: Theory of Probability and Mathematical Statistics, ISSN 0094-9000, Vol. 97, p. 151-165Article in journal (Refereed) Published
Abstract [en]

Tiny fluctuations of the Cosmic Microwave Background as well as various observable quantities obtained by spin raising and spin lowering of the effective gravitational lensing potential of distant galaxies and galaxy clusters are described mathematically as isotropic random sections of homogeneous spin and tensor bundles. We consider the three existing approaches to rigourous construction of the above objects, emphasising an approach based on the theory of induced group representations. Both orthogonal and unitary representations are treated in a unified manner. Several examples from astrophysics are included.

Place, publisher, year, edition, pages
American Mathematical Society, 2018
Keywords
Cosmology, Random field, Vector bundle
National Category
Mathematics
Identifiers
urn:nbn:se:mdh:diva-43195 (URN)10.1090/tpms/1054 (DOI)2-s2.0-85064201343 (Scopus ID)
Available from: 2019-04-25 Created: 2019-04-25 Last updated: 2019-04-25Bibliographically approved
Silvestrov, S., Malyarenko, A. & Rancic, M. (Eds.). (2018). Stochastic Processes and Applications: SPAS2017, Västerås and Stockholm, Sweden, October 4-6, 2017. Springer
Open this publication in new window or tab >>Stochastic Processes and Applications: SPAS2017, Västerås and Stockholm, Sweden, October 4-6, 2017
2018 (English)Collection (editor) (Refereed)
Place, publisher, year, edition, pages
Springer, 2018. p. XIX, 475
Series
Springer Proceedings in Mathematics and Statistics, ISSN 2194-1009 ; 271
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-42245 (URN)978-3-030-02824-4 (ISBN)978-3-030-02825-1 (ISBN)
Available from: 2018-12-31 Created: 2018-12-31 Last updated: 2019-01-15Bibliographically approved
Malyarenko, A. & Ostoja-Starzewski, M. (2018). Tensor Random Fields in Continuum Mechanics. In: Altenbach, Holm and Öchsner, Andreas (Ed.), Encyclopedia of Continuum Mechanics: (pp. 1-9). Berlin, Heidelberg: Springer Berlin/Heidelberg
Open this publication in new window or tab >>Tensor Random Fields in Continuum Mechanics
2018 (English)In: Encyclopedia of Continuum Mechanics / [ed] Altenbach, Holm and Öchsner, Andreas, Berlin, Heidelberg: Springer Berlin/Heidelberg, 2018, p. 1-9Chapter in book (Refereed)
Place, publisher, year, edition, pages
Berlin, Heidelberg: Springer Berlin/Heidelberg, 2018
Keywords
Conductivity; Elasticity; Random fields; Stochastics; Uncertainty quantification
National Category
Probability Theory and Statistics Other Physics Topics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-38883 (URN)10.1007/978-3-662-53605-6_71-1 (DOI)978-3-662-53605-6 (ISBN)
Available from: 2018-03-26 Created: 2018-03-26 Last updated: 2018-03-27Bibliographically approved
Malyarenko, A. & Ostoja-Starzewski, M. (2017). A Random Field Formulation of Hooke’s Law in All Elasticity Classes. Journal of elasticity, 127(2), 269-302
Open this publication in new window or tab >>A Random Field Formulation of Hooke’s Law in All Elasticity Classes
2017 (English)In: Journal of elasticity, ISSN 0374-3535, E-ISSN 1573-2681, Vol. 127, no 2, p. 269-302Article in journal (Refereed) Published
Abstract [en]

For each of the 8 symmetry classes of elastic materials, we consider a homogeneousrandom field taking values in the fixed point set V of the corresponding class, that is isotropic with respect to the natural orthogonal representation of a group lying between the isotropy group of the class and its normaliser. We find the general form of the correlation tensors of orders 1 and 2 of such a field, and the field’s spectral expansion.

Keywords
Elasticity class Random field Spectral expansion
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-35062 (URN)10.1007/s10659-016-9613-2 (DOI)000396525700006 ()2-s2.0-85001735603 (Scopus ID)
Available from: 2017-03-24 Created: 2017-03-24 Last updated: 2017-09-28Bibliographically approved
Andrejs, M., Fjodorovs, J. & Malyarenko, A. (2017). Algorithms of the Copula Fit to the Nonlinear Processes in the Utility Industry. Paper presented at ICTE 2016, December 2016, Riga, Latvia. Procedia Computer Science, 104, 572-577
Open this publication in new window or tab >>Algorithms of the Copula Fit to the Nonlinear Processes in the Utility Industry
2017 (English)In: Procedia Computer Science, ISSN 1877-0509, E-ISSN 1877-0509, Vol. 104, p. 572-577Article in journal (Refereed) Published
Abstract [en]

Our research studies the construction and estimation of copula-based semi parametric Markov model for the processes, which involved in water flows in the hydro plants. As a rule analyzing the dependence structure of stationary time series regressive models defined by invariant marginal distributions and copula functions that capture the temporal dependence of the processes is considered. This permits to separate out the temporal dependence (such as tail dependence) from the marginal behavior (such as fat tails) of a time series. Dealing with utility company data we have found the best copula describing data - Gumbel copula. As a result constructed algorithm was used for an imitation of low probability events (in a hydro power industry) and predictions.

Place, publisher, year, edition, pages
Elsevier, 2017
Keywords
Copula; Diffusion processes; Time series; Semi parametric regressions
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-34990 (URN)10.1016/j.procs.2017.01.174 (DOI)000399478800076 ()2-s2.0-85016014425 (Scopus ID)
Conference
ICTE 2016, December 2016, Riga, Latvia
Available from: 2017-03-02 Created: 2017-03-02 Last updated: 2017-09-28Bibliographically approved
Malyarenko, A. & Ostoja-Starzewski, M. (2017). Fractal planetary rings: energy inequalities and random field model. International Journal of Modern Physics B, 31(30), Article ID 1750236.
Open this publication in new window or tab >>Fractal planetary rings: energy inequalities and random field model
2017 (English)In: International Journal of Modern Physics B, ISSN 0217-9792, Vol. 31, no 30, article id 1750236Article in journal (Refereed) Published
Abstract [en]

This study is motivated by a recent observation, based on photographs from the Cassini mission, that Saturn’s rings have a fractal structure in radial direction. Accordingly, two questions are considered: (1) What Newtonian mechanics argument in support of such a fractal structure of planetary rings is possible? (2) What kinematics model of such fractal rings can be formulated? Both challenges are based on taking planetary rings’ spatial structure as being statistically stationary in time and statistically isotropic in space, but statistically nonstationary in space. An answer to the first challenge is given through an energy analysis of circular rings having a self-generated, noninteger-dimensional mass distribution [V. E. Tarasov, Int. J. Mod Phys. B 19, 4103 (2005)]. The second issue is approached by taking the random field of angular velocity vector of a rotating particle of the ring as a random section of a special vector bundle. Using the theory of group representations, we prove that such a field is completely determined by a sequence of continuous positive-definite matrix-valued functions defined on the Cartesian square F^2 of the radial cross-section F, where F is a fat fractal.

Keywords
Planetary rings; fractal; dynamics
National Category
Astronomy, Astrophysics and Cosmology Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-36232 (URN)10.1142/S0217979217502368 (DOI)000417105300012 ()2-s2.0-85022178407 (Scopus ID)
Available from: 2017-08-14 Created: 2017-08-14 Last updated: 2018-01-23Bibliographically approved
Organisations
Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0002-0139-0747

Search in DiVA

Show all publications