Please wait ... |

Jump to content
Change search PrimeFaces.cw("InputText","widget_formSmash_searchField",{id:"formSmash:searchField",widgetVar:"widget_formSmash_searchField"}); Search $(function(){PrimeFaces.cw("DefaultCommand","widget_formSmash_j_idt123",{id:"formSmash:j_idt123",widgetVar:"widget_formSmash_j_idt123",target:"formSmash:searchButton",scope:"formSmash:simpleSearch"});}); Search PrimeFaces.cw("CommandButton","widget_formSmash_searchButton",{id:"formSmash:searchButton",widgetVar:"widget_formSmash_searchButton"});
Only documents with full text in DiVA
PrimeFaces.cw("Fieldset","widget_formSmash_search",{id:"formSmash:search",widgetVar:"widget_formSmash_search",toggleable:true,collapsed:true,toggleSpeed:500,behaviors:{toggle:function(ext) {PrimeFaces.ab({s:"formSmash:search",e:"toggle",f:"formSmash",p:"formSmash:search"},ext);}}});
PrimeFaces.cw("InputText","widget_formSmash_upper_j_idt526",{id:"formSmash:upper:j_idt526",widgetVar:"widget_formSmash_upper_j_idt526"}); More stylesPrimeFaces.cw("InputText","widget_formSmash_upper_j_idt536",{id:"formSmash:upper:j_idt536",widgetVar:"widget_formSmash_upper_j_idt536"}); More languagesCreate PrimeFaces.cw("CommandButton","widget_formSmash_upper_j_idt545",{id:"formSmash:upper:j_idt545",widgetVar:"widget_formSmash_upper_j_idt545"}); Close PrimeFaces.cw("CommandButton","widget_formSmash_upper_j_idt546",{id:"formSmash:upper:j_idt546",widgetVar:"widget_formSmash_upper_j_idt546"});
$(function(){PrimeFaces.cw("Dialog","citationDialog",{id:"formSmash:upper:j_idt515",widgetVar:"citationDialog",width:"800",height:"600"});});
5 10 20 50 100 250 $(function(){PrimeFaces.cw("SelectOneMenu","widget_formSmash_j_idt558",{id:"formSmash:j_idt558",widgetVar:"widget_formSmash_j_idt558",behaviors:{change:function(ext) {PrimeFaces.ab({s:"formSmash:j_idt558",e:"change",f:"formSmash",p:"formSmash:j_idt558"},ext);}}});});
Standard (Relevance) Author A-Ö Author Ö-A Title A-Ö Title Ö-A Publication type A-Ö Publication type Ö-A Issued (Oldest first) Issued (Newest first) Created (Oldest first) Created (Newest first) Last updated (Oldest first) Last updated (Newest first) Disputation date (earliest first) Disputation date (latest first) $(function(){PrimeFaces.cw("SelectOneMenu","widget_formSmash_j_idt568",{id:"formSmash:j_idt568",widgetVar:"widget_formSmash_j_idt568",behaviors:{change:function(ext) {PrimeFaces.ab({s:"formSmash:j_idt568",e:"change",f:"formSmash",p:"formSmash:j_idt568"},ext);}}});});
Standard (Relevance) Author A-Ö Author Ö-A Title A-Ö Title Ö-A Publication type A-Ö Publication type Ö-A Issued (Oldest first) Issued (Newest first) Created (Oldest first) Created (Newest first) Last updated (Oldest first) Last updated (Newest first) Disputation date (earliest first) Disputation date (latest first) $(function(){PrimeFaces.cw("SelectOneMenu","widget_formSmash_j_idt571",{id:"formSmash:j_idt571",widgetVar:"widget_formSmash_j_idt571",behaviors:{change:function(ext) {PrimeFaces.ab({s:"formSmash:j_idt571",e:"change",f:"formSmash",p:"formSmash:j_idt571"},ext);}}});});
all on this page PrimeFaces.cw("CommandButton","widget_formSmash_j_idt579",{id:"formSmash:j_idt579",widgetVar:"widget_formSmash_j_idt579"}); 250 onwards PrimeFaces.cw("CommandButton","widget_formSmash_j_idt580",{id:"formSmash:j_idt580",widgetVar:"widget_formSmash_j_idt580"});
Clear selection PrimeFaces.cw("CommandButton","widget_formSmash_j_idt582",{id:"formSmash:j_idt582",widgetVar:"widget_formSmash_j_idt582"});
$(function(){PrimeFaces.cw("OverlayPanel","widget_formSmash_j_idt585",{id:"formSmash:j_idt585",widgetVar:"widget_formSmash_j_idt585",target:"formSmash:selectHelpLink",showEffect:"blind",hideEffect:"fade",showCloseIcon:true});});
$(function(){PrimeFaces.cw("DataList","widget_formSmash_items_resultList",{id:"formSmash:items:resultList",widgetVar:"widget_formSmash_items_resultList"});});
PrimeFaces.cw("InputText","widget_formSmash_lower_j_idt949",{id:"formSmash:lower:j_idt949",widgetVar:"widget_formSmash_lower_j_idt949"}); More stylesPrimeFaces.cw("InputText","widget_formSmash_lower_j_idt959",{id:"formSmash:lower:j_idt959",widgetVar:"widget_formSmash_lower_j_idt959"}); More languagesCreate PrimeFaces.cw("CommandButton","widget_formSmash_lower_j_idt968",{id:"formSmash:lower:j_idt968",widgetVar:"widget_formSmash_lower_j_idt968"}); Close PrimeFaces.cw("CommandButton","widget_formSmash_lower_j_idt969",{id:"formSmash:lower:j_idt969",widgetVar:"widget_formSmash_lower_j_idt969"});
$(function(){PrimeFaces.cw("Dialog","citationDialog",{id:"formSmash:lower:j_idt938",widgetVar:"citationDialog",width:"800",height:"600"});});

Refine search result

CiteExportLink to result list
http://mdh.diva-portal.org/smash/resultList.jsf?query=&language=en&searchType=SIMPLE&noOfRows=50&sortOrder=author_sort_asc&sortOrder2=title_sort_asc&onlyFullText=false&sf=all&aq=%5B%5B%7B%22personId%22%3A%22authority-person%3A30490+OR+0000-0002-0139-0747%22%7D%5D%5D&aqe=%5B%5D&aq2=%5B%5B%5D%5D&af=%5B%5D $(function(){PrimeFaces.cw("InputTextarea","widget_formSmash_upper_j_idt503_recordPermLink",{id:"formSmash:upper:j_idt503:recordPermLink",widgetVar:"widget_formSmash_upper_j_idt503_recordPermLink",autoResize:true});}); $(function(){PrimeFaces.cw("OverlayPanel","widget_formSmash_upper_j_idt503_j_idt505",{id:"formSmash:upper:j_idt503:j_idt505",widgetVar:"widget_formSmash_upper_j_idt503_j_idt505",target:"formSmash:upper:j_idt503:permLink",showEffect:"blind",hideEffect:"fade",my:"right top",at:"right bottom",showCloseIcon:true});});

Permanent link

Cite

Citation styleapa ieee modern-language-association-8th-edition vancouver Other style $(function(){PrimeFaces.cw("SelectOneMenu","widget_formSmash_upper_j_idt521",{id:"formSmash:upper:j_idt521",widgetVar:"widget_formSmash_upper_j_idt521",behaviors:{change:function(ext) {PrimeFaces.ab({s:"formSmash:upper:j_idt521",e:"change",f:"formSmash",p:"formSmash:upper:j_idt521",u:"formSmash:upper:otherStyle"},ext);}}});});

- apa
- ieee
- modern-language-association-8th-edition
- vancouver
- Other style

Languagede-DE en-GB en-US fi-FI nn-NO nn-NB sv-SE Other locale $(function(){PrimeFaces.cw("SelectOneMenu","widget_formSmash_upper_j_idt532",{id:"formSmash:upper:j_idt532",widgetVar:"widget_formSmash_upper_j_idt532",behaviors:{change:function(ext) {PrimeFaces.ab({s:"formSmash:upper:j_idt532",e:"change",f:"formSmash",p:"formSmash:upper:j_idt532",u:"formSmash:upper:otherLanguage"},ext);}}});});

- de-DE
- en-GB
- en-US
- fi-FI
- nn-NO
- nn-NB
- sv-SE
- Other locale

Output formathtml text asciidoc rtf $(function(){PrimeFaces.cw("SelectOneMenu","widget_formSmash_upper_j_idt542",{id:"formSmash:upper:j_idt542",widgetVar:"widget_formSmash_upper_j_idt542"});});

- html
- text
- asciidoc
- rtf

Rows per page

- 5
- 10
- 20
- 50
- 100
- 250

Sort

- Standard (Relevance)
- Author A-Ö
- Author Ö-A
- Title A-Ö
- Title Ö-A
- Publication type A-Ö
- Publication type Ö-A
- Issued (Oldest first)
- Issued (Newest first)
- Created (Oldest first)
- Created (Newest first)
- Last updated (Oldest first)
- Last updated (Newest first)
- Disputation date (earliest first)
- Disputation date (latest first)

- Standard (Relevance)
- Author A-Ö
- Author Ö-A
- Title A-Ö
- Title Ö-A
- Publication type A-Ö
- Publication type Ö-A
- Issued (Oldest first)
- Issued (Newest first)
- Created (Oldest first)
- Created (Newest first)
- Last updated (Oldest first)
- Last updated (Newest first)
- Disputation date (earliest first)
- Disputation date (latest first)

Select

The maximal number of hits you can export is 250. When you want to export more records please use the Create feeds function.

1. An Improved Asymptotics of Implied Volatility in the Gatheral Model Albuhayri, Mohammed PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_0_j_idt606",{id:"formSmash:items:resultList:0:j_idt606",widgetVar:"widget_formSmash_items_resultList_0_j_idt606",onLabel:"Albuhayri, Mohammed ",offLabel:"Albuhayri, Mohammed ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_0_j_idt609",{id:"formSmash:items:resultList:0:j_idt609",widgetVar:"widget_formSmash_items_resultList_0_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:0:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Engström, ChristopherMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:0:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); An Improved Asymptotics of Implied Volatility in the Gatheral Model2022In:*Springer Proceedings in Mathematics and Statistics*, Springer Nature, 2022, Vol. 408, p. 3-13Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_0_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:0:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_0_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We study the double-mean-reverting model by Gatheral. Our previous results concerning the asymptotic expansion of the implied volatility of a European call option, are improved up to order 3, that is, the error of the approximation is ultimately smaller that the 1.5th power of time to maturity plus the cube of the absolute value of the difference between the logarithmic security price and the logarithmic strike price.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:0:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 2. Asymptotics of Implied Volatility in the Gatheral Double Stochastic Volatility Model Albuhayri, Mohammed PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_1_j_idt606",{id:"formSmash:items:resultList:1:j_idt606",widgetVar:"widget_formSmash_items_resultList_1_j_idt606",onLabel:"Albuhayri, Mohammed ",offLabel:"Albuhayri, Mohammed ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_1_j_idt609",{id:"formSmash:items:resultList:1:j_idt609",widgetVar:"widget_formSmash_items_resultList_1_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:1:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Engström, ChristopherMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Tewolde, FinnanMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Zhang, JiahuiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:1:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Asymptotics of Implied Volatility in the Gatheral Double Stochastic Volatility Model2019In: Proceedings of 18th Applied Stochastic Models and Data Analysis International Conference with the Demographics 2019 Workshop, Florence, Italy: 11-14 June, 2019 / [ed] Christos H. Skiadas, ISAST: International Society for the Advancement of Science and Technology , 2019, p. 81-90Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_1_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:1:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_1_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The double-mean-reverting model by Gatheral [1] is motivated by empirical dynamics of the variance of the stock price. No closed-form solution for European option exists in the above model. We study the behaviour of the implied volatility with respect to the logarithmic strike price and maturity near expiry and at-the- money. Using the method by Pagliarani and Pascucci [6], we calculate explicitly the first few terms of the asymptotic expansion of the implied volatility within a parabolic region.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:1:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 3. Asymptotics of Implied Volatility in the Gatheral Double Stochastic Volatility Model Albuhayri, Mohammed PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_2_j_idt606",{id:"formSmash:items:resultList:2:j_idt606",widgetVar:"widget_formSmash_items_resultList_2_j_idt606",onLabel:"Albuhayri, Mohammed ",offLabel:"Albuhayri, Mohammed ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_2_j_idt609",{id:"formSmash:items:resultList:2:j_idt609",widgetVar:"widget_formSmash_items_resultList_2_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:2:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Engström, ChristopherMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Tewolde, FinnanMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Zhang, JiahuiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:2:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Asymptotics of Implied Volatility in the Gatheral Double Stochastic Volatility Model2021In: Applied Modeling Techniques and Data Analysis 2: Financial, Demographic, Stochastic and Statistical Models and Methods / [ed] Dimotikalis, Yannis, Karagrigoriou, Alex, Parpoula, Christina, Skiadas, Christos H., Hoboken, NJ, USA: John Wiley & Sons, 2021, p. 27-38Chapter in book (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_2_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:2:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_2_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The double-mean-reverting model by Gatheral is motivated by empirical dynamics of the variance of the stock price. No closed-form solution for European option exists in the above model. We study the behaviour of the implied volatility with respect to the logarithmic strike price and maturity near expiry and at-the-money. Using the method by Pagliarani and Pascucci, we calculate explicitly the first few terms of the asymptotic expansion of the implied volatility within a parabolic region.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:2:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 4. Numerical Studies of the Implied Volatility Expansions up to Third Order under the Gatheral Model Albuhayri, Mohammed PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_3_j_idt606",{id:"formSmash:items:resultList:3:j_idt606",widgetVar:"widget_formSmash_items_resultList_3_j_idt606",onLabel:"Albuhayri, Mohammed ",offLabel:"Albuhayri, Mohammed ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_3_j_idt609",{id:"formSmash:items:resultList:3:j_idt609",widgetVar:"widget_formSmash_items_resultList_3_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:3:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Dimitrov, MarkoMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:3:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Numerical Studies of the Implied Volatility Expansions up to Third Order under the Gatheral Model2022Conference paper (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_3_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:3:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_3_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The Gatheral double stochastic volatility model is a three-factor model with mean-reverting stochastic volatility that reverts to a stochastic long-run mean. Our previous paper investigated the performance of the first and second-order implied volatilities expansions under this model. Moreover, a simple partial calibration method has been proposed. This paper reviews and extends previous results to the third-order implied volatility expansions under the same model. Using Monte-Carlo simulation as the benchmark method, extensive numerical studies are conducted to investigate the accuracy and properties of the third-order expansion.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:3:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 5. Algorithms of the Copula Fit to the Nonlinear Processes in the Utility Industry Andrejs, Matveevs PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_4_j_idt606",{id:"formSmash:items:resultList:4:j_idt606",widgetVar:"widget_formSmash_items_resultList_4_j_idt606",onLabel:"Andrejs, Matveevs ",offLabel:"Andrejs, Matveevs ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_4_j_idt609",{id:"formSmash:items:resultList:4:j_idt609",widgetVar:"widget_formSmash_items_resultList_4_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Riga Technical University, Latvia.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:4:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Fjodorovs, JegorsRiga Technical University, Latvia.Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:4:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Algorithms of the Copula Fit to the Nonlinear Processes in the Utility Industry2017In: Procedia Computer Science, E-ISSN 1877-0509, Vol. 104, p. 572-577Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_4_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:4:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_4_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); 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.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:4:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 6. Calibration of Multiscale Two-Factor Stochastic Volatility Models: A Second-Order Asymptotic Expansion Approach Betuel, Canhanga PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_5_j_idt606",{id:"formSmash:items:resultList:5:j_idt606",widgetVar:"widget_formSmash_items_resultList_5_j_idt606",onLabel:"Betuel, Canhanga ",offLabel:"Betuel, Canhanga ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_5_j_idt609",{id:"formSmash:items:resultList:5:j_idt609",widgetVar:"widget_formSmash_items_resultList_5_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Faculty of Sciences, Dept of Mathematics and Computer Sciences, Eduardo Mondlane University, Mozambique.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:5:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:5:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Calibration of Multiscale Two-Factor Stochastic Volatility Models: A Second-Order Asymptotic Expansion Approach2018In: / [ed] Christos H Skiadas, ISAST: International Society for the Advancement of Science and Technology , 2018Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_5_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:5:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_5_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); 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.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:5:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 7. Advanced Monte Carlo pricing of european options in a market model with two stochastic volatilities Canhanga, Betuel PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_6_j_idt606",{id:"formSmash:items:resultList:6:j_idt606",widgetVar:"widget_formSmash_items_resultList_6_j_idt606",onLabel:"Canhanga, Betuel ",offLabel:"Canhanga, Betuel ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_6_j_idt609",{id:"formSmash:items:resultList:6:j_idt609",widgetVar:"widget_formSmash_items_resultList_6_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Eduardo Mondlane University, Maputo, Mozambique.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:6:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Murara, Jean-PaulMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:6:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Advanced Monte Carlo pricing of european options in a market model with two stochastic volatilities2020In: Algebraic Structures and Applications / [ed] Sergei Silvestrov, Anatoliy Malyarenko, Milica Rancic, Springer Nature, 2020, Vol. 317, p. 857-874Chapter in book (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_6_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:6:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_6_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We consider a market model with four correlated factors and two stochastic volatilities, one of which is rapid-changing, while another one is slow-changing in time. An advanced Monte Carlo method based on the theory of cubature in Wiener space is used to find the no-arbitrage price of the European call option in the above model.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:6:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 8. Numerical Studies on Asymptotics of European Option under Multiscale Stochastic Volatility Canhanga, Betuel PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_7_j_idt606",{id:"formSmash:items:resultList:7:j_idt606",widgetVar:"widget_formSmash_items_resultList_7_j_idt606",onLabel:"Canhanga, Betuel ",offLabel:"Canhanga, Betuel ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_7_j_idt609",{id:"formSmash:items:resultList:7:j_idt609",widgetVar:"widget_formSmash_items_resultList_7_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:7:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Murara, Jean-PaulMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:7:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Numerical Studies on Asymptotics of European Option under Multiscale Stochastic Volatility2015In: ASMDA 2015 Proceedings: 16th Applied Stochastic Models and Data Analysis International Conference with 4th Demographics 2015 Workshop / [ed] Christos H Skiadas, ISAST: International Society for the Advancement of Science and Technology , 2015, p. 53-66Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_7_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:7:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_7_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Multiscale stochastic volatilities models relax the constant volatility assumption from Black-Scholes option pricing model. Such model can capture the smile and skew of volatilities and therefore describe more accurately the movements of the trading prices. Christoffersen et al. [3] presented a model where the underlying priceis governed by two volatility components, one changing fast and another changing slowly. Chiarella and Ziveyi [2] transformed Christoffersen’s model and computed an approximate formula for pricing American options. They used Duhamel’s principle to derive an integral form solution of the boundary value problem associated to the option price. Using method of characteristics, Fourier and Laplace transforms, they obtained with good accuracy the American options prices. In a previous research of the authors (Canhanga et al. [1]), a particular case of Chiarella and Ziveyi [2] model is used for pricing of European options. The novelty of this earlier work is to present an asymptotic expansion for the option price. The present paper provides experimental and numerical studies on investigating the accuracy of the approximation formulae given by this asymptotic expansion. We present also a procedure for calibrating the parameters produced by our first-order asymptotic approximation formulae. Our approximated option prices will be compared to the approximation obtained by Chiarella and Ziveyi [2].

1. Canhanga B., Malyarenko, A., Ni, Y. and Silvestrov S. Perturbation methods for pricing European options in a model with two stochastic volatilities. 3rd SMTDA Conference Proceedings. 11-14 June 2014, Lisbon Porturgal, C. H. Skiadas (Ed.) 489-500 (2014).

2. Chiarella, C, and Ziveyi, J. American option pricing under two stochastic volatility processes. J. Appl. Math. Comput. 224:283–310 (2013).

3. Christoffersen, P.; Heston, S.; Jacobs, K. The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well. Manage. Sci. 55 (2) 1914-1932; (2009).

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:7:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 9. Numerical Studies on Asymptotics of European Option Under Multiscale Stochastic Volatility Canhanga, Betuel PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_8_j_idt606",{id:"formSmash:items:resultList:8:j_idt606",widgetVar:"widget_formSmash_items_resultList_8_j_idt606",onLabel:"Canhanga, Betuel ",offLabel:"Canhanga, Betuel ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_8_j_idt609",{id:"formSmash:items:resultList:8:j_idt609",widgetVar:"widget_formSmash_items_resultList_8_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); DMI, Eduardo Mondlane University, Maputo, Mozambique.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:8:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Murara, Jean-PaulMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:8:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Numerical Studies on Asymptotics of European Option Under Multiscale Stochastic Volatility2017In: Methodology and Computing in Applied Probability, ISSN 1387-5841, E-ISSN 1573-7713, Vol. 19, no 4, p. 1075-1087Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_8_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:8:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_8_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Multiscale stochastic volatilities models relax the constant volatility assumption from Black-Scholes option pricing model. Such models can capture the smile and skew of volatilities and therefore describe more accurately the movements of the trading prices. Christoffersen et al. Manag Sci 55(2):1914–1932 (2009) presented a model where the underlying price is governed by two volatility components, one changing fast and another changing slowly. Chiarella and Ziveyi Appl Math Comput 224:283–310 (2013) transformed Christoffersen’s model and computed an approximate formula for pricing American options. They used Duhamel’s principle to derive an integral form solution of the boundary value problem associated to the option price. Using method of characteristics, Fourier and Laplace transforms, they obtained with good accuracy the American option prices. In a previous research of the authors (Canhanga et al. 2014), a particular case of Chiarella and Ziveyi Appl Math Comput 224:283–310 (2013) model is used for pricing of European options. The novelty of this earlier work is to present an asymptotic expansion for the option price. The present paper provides experimental and numerical studies on investigating the accuracy of the approximation formulae given by this asymptotic expansion. We present also a procedure for calibrating the parameters produced by our first-order asymptotic approximation formulae. Our approximated option prices will be compared to the approximation obtained by Chiarella and Ziveyi Appl Math Comput 224:283–310 (2013).

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:8:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 10. Pricing European Options Under Stochastic Volatilities Models Canhanga, Betuel PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_9_j_idt606",{id:"formSmash:items:resultList:9:j_idt606",widgetVar:"widget_formSmash_items_resultList_9_j_idt606",onLabel:"Canhanga, Betuel ",offLabel:"Canhanga, Betuel ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_9_j_idt609",{id:"formSmash:items:resultList:9:j_idt609",widgetVar:"widget_formSmash_items_resultList_9_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:9:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Murara, Jean-PaulMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:9:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Pricing European Options Under Stochastic Volatilities Models2016In: Engineering Mathematics I: Electromagnetics, Fluid Mechanics, Material Physics and Financial Engineering / [ed] Sergei Silvestrov; Milica Rancic, Springer, 2016, p. 315-338Chapter in book (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_9_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:9:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_9_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Interested by the volatility behavior, different models have been developed for option pricing. Starting from constant volatility model which did not succeed on capturing the effects of volatility smiles and skews; stochastic volatility models appearas a response to the weakness of the constant volatility models. Constant elasticity of volatility, Heston, Hull and White, Schöbel-Zhu, Schöbel-Zhu-Hull-Whiteand many others are examples of models where the volatility is itself a random process. Along the chapter we deal with this class of models and we present the techniques of pricing European options. Comparing single factor stochastic volatility models to constant factor volatility models it seems evident that the stochastic volatility models represent nicely the movement of the asset price and its relations with changes in the risk. However, these models fail to explain the large independent fluctuations in the volatility levels and slope. Christoffersen et al. in [4] proposed a model with two-factor stochastic volatilities where the correlation between the underlying asset price and the volatilities varies randomly. In the last section of this chapter we introduce a variation of Chiarella and Ziveyi model, which is a subclass of the model presented in [4] and we use the first order asymptotic expansion methods to determine the price of European options.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:9:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 11. Analytical and Numerical Studies on the Second Order Asymptotic Expansion Method for European Option Pricing under Two-factor Stochastic Volatilities Canhanga, Betuel PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_10_j_idt606",{id:"formSmash:items:resultList:10:j_idt606",widgetVar:"widget_formSmash_items_resultList_10_j_idt606",onLabel:"Canhanga, Betuel ",offLabel:"Canhanga, Betuel ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_10_j_idt609",{id:"formSmash:items:resultList:10:j_idt609",widgetVar:"widget_formSmash_items_resultList_10_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. Faculty of Sciences, Department of Mathematics and Computer Sciences, Eduardo Mondlane University, Maputo, Mozambique.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:10:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:10:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Analytical and Numerical Studies on the Second Order Asymptotic Expansion Method for European Option Pricing under Two-factor Stochastic Volatilities2018In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 47, no 6, p. 1328-1349Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_10_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:10:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_10_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The celebrated Black–Scholes model made the assumption of constant volatility but empirical studies on implied volatility and asset dynamics motivated the use of stochastic volatilities. Christoffersen in 2009 showed that multi-factor stochastic volatilities models capture the asset dynamics more realistically. Fouque in 2012 used it to price European options. In 2013 Chiarella and Ziveyi considered Christoffersen's ideas and introduced an asset dynamics where the two volatilities of the Heston type act separately and independently on the asset price, and using Fourier transform for the asset price process and double Laplace transform for the two volatilities processes, solved a pricing problem for American options. This paper considers the Chiarella and Ziveyi model and parameterizes it so that the volatilities revert to the long-run-mean with reversion rates that mimic fast(for example daily) and slow(for example seasonal) random effects. Applying asymptotic expansion method presented by Fouque in 2012, we make an extensive and detailed derivation of the approximation prices for European options. We also present numerical studies on the behavior and accuracy of our first and the second order asymptotic expansion formulas.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:10:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 12. Perturbation Methods for Pricing European Options in a Model with Two Stochastic Volatilities Canhanga, Betuel PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_11_j_idt606",{id:"formSmash:items:resultList:11:j_idt606",widgetVar:"widget_formSmash_items_resultList_11_j_idt606",onLabel:"Canhanga, Betuel ",offLabel:"Canhanga, Betuel ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_11_j_idt609",{id:"formSmash:items:resultList:11:j_idt609",widgetVar:"widget_formSmash_items_resultList_11_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:11:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:11:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Perturbation Methods for Pricing European Options in a Model with Two Stochastic Volatilities2015In: New trends in Stochastic Modeling and Data Analysis, ISAST , 2015, p. 199-210Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_11_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:11:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_11_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Financial models have to reflect the characteristics of markets in which they are developed to be able to predict the future behavior of a financial system. The nature of most trading environments is characterized by uncertainties which are expressed in mathematical models in terms of volatilities. In contrast to the classical Black-Scholes model with constant volatility, our model includes one fast-changing and another slow-changing stochastic volatilities of mean-reversion type. The different changing frequencies of volatilities can be interpreted as the effects of weekends and effects of seasons of the year (summer and winter) on the asset price.

We perform explicitly the transition from the real-world to the risk-neutral probability measure by introducing market prices of risk and applying Girsanov Theorem. To solve the boundary value problem for the partial differential equation that corresponds to the case of a European option, we perform both regular and singular multiscale expansions in fractional powers of the speed of mean-reversion factors. We then construct an approximate solution given by the two-dimensional Black-Scholes model plus some terms that expand the results obtained by Black and Scholes.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:11:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 13. Second Order Asymptotic Expansion for Pricing European Options in a Model with Two Stochastic Volatilities Canhanga, Betuel PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_12_j_idt606",{id:"formSmash:items:resultList:12:j_idt606",widgetVar:"widget_formSmash_items_resultList_12_j_idt606",onLabel:"Canhanga, Betuel ",offLabel:"Canhanga, Betuel ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_12_j_idt609",{id:"formSmash:items:resultList:12:j_idt609",widgetVar:"widget_formSmash_items_resultList_12_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Faculty of Sciences, Department of Mathematics and Computer Sciences, Eduardo Mondlane University, Maputo, Mozambique.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:12:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:12:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Second Order Asymptotic Expansion for Pricing European Options in a Model with Two Stochastic Volatilities2015In: ASMDA 2015 Proceedings: 16th Applied Stochastic Models and Data Analysis International Conference with 4th Demographics 2015 Workshop, 30 June – 4 July 2015 University of Piraeus, Greece / [ed] C. H. Skiadas, ISAST: International Society for the Advancement of Science and Technology , 2015, p. 37-52Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_12_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:12:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_12_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Asset price processes with stochastic volatilities have been actively used by researchers in financial mathematics for valuing derivative securities. This type of models allows characterizing the uncertainties in the asset price process in financial markets. In a recent paper Chiarella and Ziveyi analyzed a model with two stochastic volatilities of mean reversion type with one variable changing fast and the other changing slowly. They used method of characteristics to solve the obtained partial differential equation and determine the price of an American option. Fouque et al presented also a similar model in which the volatility of the underlying asset is governed by two diffusion processes which are not of mean reversion type. They developed a first-order asymptotic expansion for the European option price via a perturbation method.

In this chapter we consider the model given in Chiarella and Ziveyi. Instead of pricing American options we price European options by generalizing the techniques presented in Fouque et al to a more complex model with mean reverting stochastic volatility factors. We analyse both regular and singular perturbations to obtain an asymptotic expansion up to second order which can serve as an approximation for the price of non-path-dependent European options. Similar work is done in authors earlier work Canhanga et al where a first-order asymptotic expansion has been developed. Involving the second order terms has the advantage of capturing more accurately the effects of volatility smile and skew on the option pricing. Analytical approximation formula for pricing European Option is presented.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:12:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 14. Numerical Methods on European Options Second Order Asymptotic Expansions for Multiscale Stochastic Volatility Canhanga, Betuel PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_13_j_idt606",{id:"formSmash:items:resultList:13:j_idt606",widgetVar:"widget_formSmash_items_resultList_13_j_idt606",onLabel:"Canhanga, Betuel ",offLabel:"Canhanga, Betuel ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_13_j_idt609",{id:"formSmash:items:resultList:13:j_idt609",widgetVar:"widget_formSmash_items_resultList_13_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:13:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:13:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Numerical Methods on European Options Second Order Asymptotic Expansions for Multiscale Stochastic Volatility2017In: INCPAA 2016 Proceedings: 11th International Conference on Mathematical Problems in Engineering, Aerospace, and Sciences, ICNPAA 2016, La Rochelle, France, 4 - 8 July 2016. / [ed] S. Sivasundaram, 2017, Vol. 1798, p. 020035-1-020035-10, article id 020035Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_13_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:13:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_13_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); After Black-Scholes proposed a model for pricing European Option in 1973, Cox, Ross and Rubinstein in 1979, and Heston in 1993, showed that the constant volatility assumption in the Black-Scholes model was one of the main reasons for the model to be unable to capture some market details. Instead of constant volatilities, they introduced non-constant volatilities to the asset dynamic modeling. In 2009, Christoffersen empirically showed "why multi-factor stochastic volatility models work so well". Four years later, Chiarella and Ziveyi solved the model proposed by Christoffersen. They considered an underlying asset whose price is governed by two factor stochastic volatilities of mean reversion type. Applying Fourier transforms, Laplace transforms and the method of characteristics they presented an approximate formula for pricing American option.The huge calculation involved in the Chiarella and Ziveyi approach motivated us to investigate another approach to compute European option prices on a Christoffersen type model. Using the first and second order asymptotic expansion method we presented a closed form solution for European option, and provided experimental and numerical studies on investigating the accuracy of the approximation formulae given by the first order asymptotic expansion. In the present chapter we will perform experimental and numerical studies for the second order asymptotic expansion and compare the obtained results with results presented by Chiarella and Ziveyi.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:13:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 15. Exploring the world of financial engineering Carkovs, Jevgenijs PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_14_j_idt606",{id:"formSmash:items:resultList:14:j_idt606",widgetVar:"widget_formSmash_items_resultList_14_j_idt606",onLabel:"Carkovs, Jevgenijs ",offLabel:"Carkovs, Jevgenijs ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_14_j_idt609",{id:"formSmash:items:resultList:14:j_idt609",widgetVar:"widget_formSmash_items_resultList_14_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Riga Technical University.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:14:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication.Pärna, KalevUniversity of Tartu.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:14:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Exploring the world of financial engineering2011Collection (editor) (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_14_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:14:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_14_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University (Sweden), Riga Technical University (Latvia) and University of Tartu (Estonia) organised courses “Exploring the world of financial engineering" for teachers and students of the above higher education institutions under financial support of the Nordplus Framework mobility project HE-2010_1a-21005. These courses take place in the city of Västerås (Sweden) on May 9–May 13, 2011. In this book, we present the material of the courses’ lectures.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:14:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Download full text (pdf)fulltext$(function(){PrimeFaces.cw("Tooltip","widget_formSmash_items_resultList_14_j_idt869_0_j_idt872",{id:"formSmash:items:resultList:14:j_idt869:0:j_idt872",widgetVar:"widget_formSmash_items_resultList_14_j_idt869_0_j_idt872",showEffect:"fade",hideEffect:"fade",target:"formSmash:items:resultList:14:j_idt869:0:fullText"});}); 16. Numerical Studies of Implied Volatility Expansions Under the Gatheral Model Dimitrov, Marko PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_15_j_idt606",{id:"formSmash:items:resultList:15:j_idt606",widgetVar:"widget_formSmash_items_resultList_15_j_idt606",onLabel:"Dimitrov, Marko ",offLabel:"Dimitrov, Marko ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_15_j_idt609",{id:"formSmash:items:resultList:15:j_idt609",widgetVar:"widget_formSmash_items_resultList_15_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:15:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Albuhayri, MohammedMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:15:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Numerical Studies of Implied Volatility Expansions Under the Gatheral Model2022In: Data Analysis and Related Applications 1: Computational, Algorithmic and Applied Economic Data Analysis / [ed] Konstantinos N. Zafeiris; Christos H. Skiadas; Yiannis Dimotikalis; Alex Karagrigoriou; Christiana Karagrigoriou-Vonta, London: ISTE Ltd , 2022, p. 135-148Chapter in book (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_15_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:15:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_15_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We calculate the price of the European call option in the Gatheral double stochastic volatility model by two independent methods. The first one is Monte Carlo simulation. For the second one, we use asymptotic expansions up to order 3 of the implied volatility in the above model calculated in our previous papers. We substitute the approximate value of the implied volatility to the Black--Scholes pricing formula. The results showing the accuracy of our approximation are presented.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:15:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 17. A deep look into the Dagum family of isotropic covariance functions Faouzi, Tarik PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_16_j_idt606",{id:"formSmash:items:resultList:16:j_idt606",widgetVar:"widget_formSmash_items_resultList_16_j_idt606",onLabel:"Faouzi, Tarik ",offLabel:"Faouzi, Tarik ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_16_j_idt609",{id:"formSmash:items:resultList:16:j_idt609",widgetVar:"widget_formSmash_items_resultList_16_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Universidad del Bío-Bío, Chile.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:16:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Kondrashuk, IgorUniversidad del Bio-Bio, Chile.Porcu, EmilioKhalifa University at Abu Dhabi, United Arab Emirates..Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:16:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); A deep look into the Dagum family of isotropic covariance functions2022In: Journal of Applied Probability, ISSN 0021-9002, E-ISSN 1475-6072, Vol. 59, no 4, p. 1026-1041Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_16_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:16:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_16_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The Dagum family of isotropic covariance functions has two parameters that allow fordecoupling of the fractal dimension and the Hurst effect for Gaussian random fields thatare stationary and isotropic over Euclidean spaces. Sufficient conditions that allow forpositive definiteness in $R^d$ of the Dagum family have been proposed on the basis ofthe fact that the Dagum family allows for complete monotonicity under some parameter restrictions. The spectral properties of the Dagum family have been inspected to a verylimited extent only, and this paper gives insight into this direction. Specifically, we studyfinite and asymptotic properties of the isotropic spectral density (intended as the Hankeltransform) of the Dagum model. Also, we establish some closed-form expressions forthe Dagum spectral density in terms of the Fox–Wright functions. Finally, we provideasymptotic properties for such a class of spectral densities.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:16:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 18. A deep look into the dagum family of isotropic covariance functions Faouzi, Tarik PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_17_j_idt606",{id:"formSmash:items:resultList:17:j_idt606",widgetVar:"widget_formSmash_items_resultList_17_j_idt606",onLabel:"Faouzi, Tarik ",offLabel:"Faouzi, Tarik ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_17_j_idt609",{id:"formSmash:items:resultList:17:j_idt609",widgetVar:"widget_formSmash_items_resultList_17_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Universidad del Bío-Bío, Chile.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:17:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Porcu, EmilioKhalifa University at Abu Dhabi, United Arab Emirates.Kondrashuk, IgorUniversidad del Bio-Bio, Chile.Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:17:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); A deep look into the dagum family of isotropic covariance functionsManuscript (preprint) (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_17_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:17:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_17_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The Dagum family of isotropic covariance functions has two parameters thatallow for decoupling of the fractal dimension and Hurst effect for Gaussianrandom fields that are stationary and isotropic over Euclidean spaces.Sufficient conditions that allow for positive definiteness in Rd of the Dagumfamily have been proposed on the basis of the fact that the Dagum familyallows for complete monotonicity under some parameter restrictions.The spectral properties of the Dagum family have been inspected to a verylimited extent only, and this paper gives insight into this direction. Specifically,we study finite and asymptotic properties of the isotropic spectral density(intended as the Hankel transform) of the Dagum model. Also, we establishsome closed forms expressions for the Dagum spectral density in terms of theFox–Wright functions. Finally, we provide asymptotic properties for such aclass of spectral densities.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:17:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 19. RVE problem Karimi, Pouyan PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_18_j_idt606",{id:"formSmash:items:resultList:18:j_idt606",widgetVar:"widget_formSmash_items_resultList_18_j_idt606",onLabel:"Karimi, Pouyan ",offLabel:"Karimi, Pouyan ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_18_j_idt609",{id:"formSmash:items:resultList:18:j_idt609",widgetVar:"widget_formSmash_items_resultList_18_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); University of Illinois at Urbana-Champaigne, USA.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:18:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ostoja-Starzewski, MartinUniversity of Illinois at Urbana-Champaign, USA.Zhang, XianUniversity of Illinois at Urbana-Champaigne, USA.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:18:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); RVE problem: mathematical aspects and related stochastic mechanics2020In: International Journal of Engineering Science, ISSN 0020-7225, E-ISSN 1879-2197, Vol. 146, article id 103169Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_18_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:18:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_18_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The paper examines (i) formulation of field problems of mechanics accounting for a random material microstructure and (ii) solution of associated boundary value problems. The adopted approach involves upscaling of constitutive properties according to the Hill--Mandel condition, as the only method yielding hierarchies of scale-dependent bounds and their statistics for a wide range of (non)linear elastic and inelastic, coupled-field, and even electromagnetic problems requiring (a) weakly homogeneous random fields and (b) corresponding variational principles. The upscaling leads to statistically homogeneous and isotropic mesoscale tensor random fields (TRFs) of constitutive\ properties, whose realizations are, in general, everywhere anisotropic. A summary of most general admissible correlation tensors for TRFs of ranks 1, \dots, 4 is given. A method of solving boundary value problems based on the TRF input is discussed in terms of torsion of a randomly structured rod. Given that many random materials encountered in nature (e.g., in biological and geological structures) are fractal and possess long-range correlations, we also outline a method for simulating such materials, accompanied by an application to wave propagation.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:18:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 20. Matérn Class Tensor-Valued Random Fields and Beyond Leonenko, Nikolai PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_19_j_idt606",{id:"formSmash:items:resultList:19:j_idt606",widgetVar:"widget_formSmash_items_resultList_19_j_idt606",onLabel:"Leonenko, Nikolai ",offLabel:"Leonenko, Nikolai ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_19_j_idt609",{id:"formSmash:items:resultList:19:j_idt609",widgetVar:"widget_formSmash_items_resultList_19_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Cardiff University, UK.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:19:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:19:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Matérn Class Tensor-Valued Random Fields and Beyond2017In: Journal of statistical physics, ISSN 0022-4715, E-ISSN 1572-9613, Vol. 168, p. 1276-1301Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_19_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:19:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_19_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We construct classes of homogeneous random fields on a three-dimensional Euclidean space that take values in linear spaces of tensors of a fixed rank and are isotropic with respect to a fixed orthogonal representation of the group of 3 × 3 orthogonal matrices.The constructed classes depend on finitely many isotropic spectral densities. We say that such a field belongs to either the Matérn or the dual Matérn class if all of the above densities are Matérn or dual Matérn. Several examples are considered.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:19:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 21. On spectral theory of random fields in the ball Leonenko, Nikolai PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_20_j_idt606",{id:"formSmash:items:resultList:20:j_idt606",widgetVar:"widget_formSmash_items_resultList_20_j_idt606",onLabel:"Leonenko, Nikolai ",offLabel:"Leonenko, Nikolai ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_20_j_idt609",{id:"formSmash:items:resultList:20:j_idt609",widgetVar:"widget_formSmash_items_resultList_20_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); School of Mathematics, Cardiff University, Senghennydd Road, Cardiff CF24 4AG, UK.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:20:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Olenko, AndriyLa Trobe University, Australia.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:20:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); On spectral theory of random fields in the ball2022In: Theory of Probability and Mathematical Statistics, ISSN 0094-9000, Vol. 107, p. 61-76Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_20_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:20:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_20_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The paper investigates random fields in the ball. It studies three typesof such fields: restrictions of scalar random fields in the ball to the sphere, spin, andvector random fields. The review of the existing results and new spectral theory foreach of these classes of random fields are given. Examples of applications to classicaland new models of these three types are presented. In particular, the Mat´ern modelis used for illustrative examples. The derived spectral representations can be utilisedto further study theoretical properties of such fields and to simulate their realisations.The obtained results can also find various applications for modelling and investigatingball data in cosmology, geosciences and embryology.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:20:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 22. Time-Varying Isotropic Vector Random Fields on Compact Two-Point Homogeneous Spaces Ma, Chunsheng PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_21_j_idt606",{id:"formSmash:items:resultList:21:j_idt606",widgetVar:"widget_formSmash_items_resultList_21_j_idt606",onLabel:"Ma, Chunsheng ",offLabel:"Ma, Chunsheng ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_21_j_idt609",{id:"formSmash:items:resultList:21:j_idt609",widgetVar:"widget_formSmash_items_resultList_21_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Wichita State University, USA.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:21:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:21:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Time-Varying Isotropic Vector Random Fields on Compact Two-Point Homogeneous Spaces2020In: Journal of theoretical probability, ISSN 0894-9840, E-ISSN 1572-9230, Vol. 33, no 1, p. 319-339Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_21_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:21:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_21_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); A general form of the covariance matrix function is derived in this paper for a vector random field that is isotropic and mean square continuous on a compact connected two-point homogeneous space and stationary on a temporal domain. A series representation is presented for such a vector random field which involves Jacobi polynomials and the distance defined on the compact two-point homogeneous space.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:21:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 23. A family of series representations of the multiparameter fractional Brownian motion Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_22_j_idt606",{id:"formSmash:items:resultList:22:j_idt606",widgetVar:"widget_formSmash_items_resultList_22_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:22:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:22:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); A family of series representations of the multiparameter fractional Brownian motion2011In: SEMINAR ON STOCHASTIC ANALYSIS, RANDOM FIELDS AND APPLICATIONS VI / [ed] Dalang, RC; Dozzi, M; Russo, F, Birkhäuser , 2011, Vol. 63, p. 209-226Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_22_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:22:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_22_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We derive a family of series representations of the multiparameter fractional Brownian motion in the centred ball of radius R in the N-dimensional space R^N. Some known examples of series representations are shown to be the members of the family under consideration.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:22:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Download full text (pdf)fulltext$(function(){PrimeFaces.cw("Tooltip","widget_formSmash_items_resultList_22_j_idt869_0_j_idt872",{id:"formSmash:items:resultList:22:j_idt869:0:j_idt872",widgetVar:"widget_formSmash_items_resultList_22_j_idt869_0_j_idt872",showEffect:"fade",hideEffect:"fade",target:"formSmash:items:resultList:22:j_idt869:0:fullText"});}); 24. A series expansion of a certain class of isotropic Gaussian random fields with homogeneous increments Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_23_j_idt606",{id:"formSmash:items:resultList:23:j_idt606",widgetVar:"widget_formSmash_items_resultList_23_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, Department of Mathematics and Physics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:23:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:23:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); A series expansion of a certain class of isotropic Gaussian random fields with homogeneous increments2004Report (Other academic)25. Abelian and Tauberian theorems for random fields on two-point homogeneous spaces Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_24_j_idt606",{id:"formSmash:items:resultList:24:j_idt606",widgetVar:"widget_formSmash_items_resultList_24_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, Department of Mathematics and Physics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:24:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:24:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Abelian and Tauberian theorems for random fields on two-point homogeneous spaces2003Report (Other scientific)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_24_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:24:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_24_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We consider centred mean-square continuous random fields for which the incremental variance between two points depends only on the distance between these points. The relations between the asymptotic behaviour of the incremental variance near zero and the asymptotic behaviour of the spectral measure of the field near infinity are investigated. We prove several Abelian and Tauberian theorems in terms of slowly varying functions.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:24:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Download full text (pdf)FULLTEXT01$(function(){PrimeFaces.cw("Tooltip","widget_formSmash_items_resultList_24_j_idt869_0_j_idt872",{id:"formSmash:items:resultList:24:j_idt869:0:j_idt872",widgetVar:"widget_formSmash_items_resultList_24_j_idt869_0_j_idt872",showEffect:"fade",hideEffect:"fade",target:"formSmash:items:resultList:24:j_idt869:0:fullText"});}); 26. Abelian and tauberian theorems for random fields on two-point homogeneous spaces Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_25_j_idt606",{id:"formSmash:items:resultList:25:j_idt606",widgetVar:"widget_formSmash_items_resultList_25_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. International Mathematical Centre, National Academy of Sciences of Ukraine, Ukraine.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:25:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:25:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Abelian and tauberian theorems for random fields on two-point homogeneous spaces2004In: Theory of Probability and Mathematical Statistics, ISSN 0094-9000, Vol. 69, p. 115-127Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_25_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:25:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_25_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We consider centered mean-square continuous random fields for which the variance of increments between two points depends only on the distance between these points. Relations between the asymptotic behavior of the variance of increments near zero and the asymptotic behavior of the spectral measure of the field near infinity are investigated. We prove several Abelian and Tauberian theorems in terms of slowly varying functions. © 2004 American Mathematical Society.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:25:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 27. An optimal series expansion of the multiparameter fractional Brownian motion Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_26_j_idt606",{id:"formSmash:items:resultList:26:j_idt606",widgetVar:"widget_formSmash_items_resultList_26_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:26:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:26:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); An optimal series expansion of the multiparameter fractional Brownian motion2008In: Journal of theoretical probability, ISSN 0894-9840, E-ISSN 1572-9230, Vol. 21, no 2, p. 459-475Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_26_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:26:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_26_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We derive a series expansion for the multiparameter fractional Brownian motion. The derived expansion is proven to be rate optimal.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:26:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Download full text (pdf)fulltext$(function(){PrimeFaces.cw("Tooltip","widget_formSmash_items_resultList_26_j_idt869_0_j_idt872",{id:"formSmash:items:resultList:26:j_idt869:0:j_idt872",widgetVar:"widget_formSmash_items_resultList_26_j_idt869_0_j_idt872",showEffect:"fade",hideEffect:"fade",target:"formSmash:items:resultList:26:j_idt869:0:fullText"});}); 28. Functional limit theorems for multiparameter fractional Brownian motion Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_27_j_idt606",{id:"formSmash:items:resultList:27:j_idt606",widgetVar:"widget_formSmash_items_resultList_27_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, Department of Mathematics and Physics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:27:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:27:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Functional limit theorems for multiparameter fractional Brownian motion2004Report (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_27_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:27:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_27_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We prove a general functional limit theorem for mul-tiparameter fractional Brownian motion. The functional law ofthe iterated logarithm, functional L ́evy’s modulus of continuityand many other results are its particular cases. Applications toapproximation theory are discussed.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:27:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 29. Functional limit theorems for multiparameter fractional Brownian motion Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_28_j_idt606",{id:"formSmash:items:resultList:28:j_idt606",widgetVar:"widget_formSmash_items_resultList_28_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, Department of Mathematics and Physics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:28:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:28:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Functional limit theorems for multiparameter fractional Brownian motion2004In: Proceedings of the 6th World Congress of the Bernoulli Society for Mathematical Statistics and Probability, Barcelona, July 26--31 2004, 2004, p. 142-xxxConference paper (Refereed)30. Functional limit theorems for multiparameter fractional Brownian motion Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_29_j_idt606",{id:"formSmash:items:resultList:29:j_idt606",widgetVar:"widget_formSmash_items_resultList_29_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:29:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:29:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Functional limit theorems for multiparameter fractional Brownian motion2006In: Journal of theoretical probability, ISSN 0894-9840, E-ISSN 1572-9230, Vol. 19, no 2, p. 263-288Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_29_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:29:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_29_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We prove a general functional limit theorem for multiparameterfractional Brownian motion. The functional law of the iteratedlogarithm, functional Lévy's modulus of continuity and manyother results are its particular cases. Applications toapproximation theory are discussed.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:29:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Download full text (pdf)fulltext$(function(){PrimeFaces.cw("Tooltip","widget_formSmash_items_resultList_29_j_idt869_0_j_idt872",{id:"formSmash:items:resultList:29:j_idt869:0:j_idt872",widgetVar:"widget_formSmash_items_resultList_29_j_idt869_0_j_idt872",showEffect:"fade",hideEffect:"fade",target:"formSmash:items:resultList:29:j_idt869:0:fullText"});}); 31. Invariant random fields in vector bundles and application to cosmology Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_30_j_idt606",{id:"formSmash:items:resultList:30:j_idt606",widgetVar:"widget_formSmash_items_resultList_30_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:30:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:30:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Invariant random fields in vector bundles and application to cosmology2011In: Annales de l’Institut Henri Poincaré - Probabilités et Statistiques, ISSN 0246-0203, Vol. 47, no 4, p. 1068-1095Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_30_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:30:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_30_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We develop the theory of invariant random fields in vector bundles. The spectral decomposition of an invariant random field in a homogeneous vector bundle generated by an induced representation of a compact connected Lie group

is btained. We discuss an application to the theory of relic radiation, where*G*=*G**SO*3*(*. A theorem about equivalence of two different groups of assumptions in cosmological theories is proved.*)*PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:30:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 32. Invariant random fields in vector bundles and application to cosmology Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_31_j_idt606",{id:"formSmash:items:resultList:31:j_idt606",widgetVar:"widget_formSmash_items_resultList_31_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:31:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:31:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Invariant random fields in vector bundles and application to cosmologyManuscript (preprint) (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_31_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:31:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_31_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We develop the theory of invariant random fields in vector bundles. The spectral decomposition of an invariant random field in a homogeneous vector bundle generated by an induced representation of a compact connected Lie group $G$ is obtained. We discuss an application to the theory of cosmic microwave background, where $G=SO(3)$. A theorem about equivalence of two different groups of assumptions in cosmological theories is proved.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:31:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Download full text (pdf)FULLTEXT01$(function(){PrimeFaces.cw("Tooltip","widget_formSmash_items_resultList_31_j_idt869_0_j_idt872",{id:"formSmash:items:resultList:31:j_idt869:0:j_idt872",widgetVar:"widget_formSmash_items_resultList_31_j_idt869_0_j_idt872",showEffect:"fade",hideEffect:"fade",target:"formSmash:items:resultList:31:j_idt869:0:fullText"});}); 33. Invariant random fields on spaces with a group action Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_32_j_idt606",{id:"formSmash:items:resultList:32:j_idt606",widgetVar:"widget_formSmash_items_resultList_32_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:32:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:32:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Invariant random fields on spaces with a group action2013Book (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_32_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:32:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_32_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The author describes the current state of the art in the theory of invariant random fields. This theory is based on several different areas of mathematics, including probability theory, differential geometry, harmonic analysis, and special functions. The present volume unifies many results scattered throughout the mathematical, physical, and engineering literature, as well as it introduces new results from this area first proved by the author. The book also presents many practical applications, in particular in such highly interesting areas as approximation theory, cosmology and earthquake engineering. It is intended for researchers and specialists working in the fields of stochastic processes, statistics, functional analysis, astronomy, and engineering.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:32:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Download (pdf)innehållsförteckning$(function(){PrimeFaces.cw("Tooltip","widget_formSmash_items_resultList_32_j_idt873_0_j_idt876",{id:"formSmash:items:resultList:32:j_idt873:0:j_idt876",widgetVar:"widget_formSmash_items_resultList_32_j_idt873_0_j_idt876",showEffect:"fade",hideEffect:"fade",target:"formSmash:items:resultList:32:j_idt873:0:otherAttachment"});}); 34. Lectures on cubature methods in financial engineering Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_33_j_idt606",{id:"formSmash:items:resultList:33:j_idt606",widgetVar:"widget_formSmash_items_resultList_33_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:33:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:33:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Lectures on cubature methods in financial engineering2011In: Exploring the world of financíal engineering / [ed] Jeegenijs Carkovs, Anatoliy Malyarenko, Kalev Pärna, Västerås: Mälardalen University , 2011, p. 48-65Chapter in book (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_33_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:33:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_33_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We present a pedagogical introduction into cubature methods on Wiener space and their use in financial engineering. Some important parts of mathematics which are often omitted in study plans, are described in details. These includes the Riemann--Stiltjes integral, tensor products, and elements of Lie theory.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:33:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 35. Moduli of continuity and fast points for Gaussian isotropic random fields Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_34_j_idt606",{id:"formSmash:items:resultList:34:j_idt606",widgetVar:"widget_formSmash_items_resultList_34_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, Department of Mathematics and Physics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:34:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:34:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Moduli of continuity and fast points for Gaussian isotropic random fields2002Report (Other scientific)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_34_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:34:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_34_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We consider a class of Gaussian isotropic random fields related to multi-parameter fractional Brownian motion. We calculate both the local and global moduli of continuity as well as the Hausdorff and packing dimensions of the exceptional random sets of fast points for that fields.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:34:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Download full text (pdf)FULLTEXT01$(function(){PrimeFaces.cw("Tooltip","widget_formSmash_items_resultList_34_j_idt869_0_j_idt872",{id:"formSmash:items:resultList:34:j_idt869:0:j_idt872",widgetVar:"widget_formSmash_items_resultList_34_j_idt869_0_j_idt872",showEffect:"fade",hideEffect:"fade",target:"formSmash:items:resultList:34:j_idt869:0:fullText"});}); 36. Spectral expansions of cosmological fields Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_35_j_idt606",{id:"formSmash:items:resultList:35:j_idt606",widgetVar:"widget_formSmash_items_resultList_35_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:35:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:35:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Spectral expansions of cosmological fields2015In: Journal of Statistical Science and Application, ISSN 2328-224X, Vol. 3, no 11-12, p. 175-193Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_35_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:35:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_35_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We give a review of the theory of random fields defined on the observable part of the Universe that satisfy the cosmological principle, i.e.,invariant with respect to the 6-dimensional group G of theisometries of the time slice of theFriedmann-Lemaitre-Robertson-Walker standard chart. Our new results include proof of spectral expansions of scalar and spin weighted G-invariant cosmological fields in open, flat, and closed cosmological models.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:35:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 37. Spectral expansions of random sections of homogeneous vector bundles Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_36_j_idt606",{id:"formSmash:items:resultList:36:j_idt606",widgetVar:"widget_formSmash_items_resultList_36_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:36:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:36:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Spectral expansions of random sections of homogeneous vector bundles2017In: Theory of Probability and Mathematical Statistics, ISSN 0094-9000, Vol. 97, p. 142-156Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_36_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:36:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_36_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); 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.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:36:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 38. Spectral expansions of tensor-valued random fields Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_37_j_idt606",{id:"formSmash:items:resultList:37:j_idt606",widgetVar:"widget_formSmash_items_resultList_37_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:37:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:37:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Spectral expansions of tensor-valued random fields2017In: AIP Conference Proceedings, Volume 1798, American Institute of Physics (AIP), 2017, Vol. 1798, p. 1-10, article id 020095Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_37_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:37:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_37_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); In this paper, we review the theory of random fields that are defined on the space domain ℝ3, take values in a real finite-dimensional linear space V that consists of tensors of a fixed rank, and are homogeneous and isotropic with respect to an orthogonal representation of a closed subgroup G of the group O(3). A historical introduction, the statement of the problem, some current results, and a sketch of proofs are included.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:37:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 39. Option pricing and model calibration under multifactor stochastic volatility and stochastic interest rate - an asymptotic expansion approach Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_38_j_idt606",{id:"formSmash:items:resultList:38:j_idt606",widgetVar:"widget_formSmash_items_resultList_38_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_38_j_idt609",{id:"formSmash:items:resultList:38:j_idt609",widgetVar:"widget_formSmash_items_resultList_38_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:38:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Canhanga, BetuelMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:38:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Option pricing and model calibration under multifactor stochastic volatility and stochastic interest rate - an asymptotic expansion approach2017In: Proceedings ASMDA2017 / [ed] Skiadas, Christos H., ISAST: International Society for the Advancement of Science and Technology , 2017, p. 219-231-Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_38_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:38:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_38_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Among other limitations, the celebrated Black--Scholes option pricingmodel assumes constant volatility and constant interest rates, which is not supportedby empirical studies on for example implied volatility surfaces. Studiesby many researchers such as Heston in 1993, Christoffersen in 2009, Fouque in2012, Chiarella--Ziveyi in 2013, and the authors' previous work removed the constantvolatility assumption from the Black--Scholes model by introducing one ortwo stochastic volatility factors with constant interest rate. In the present paperwe follow this line but generalize the model by considering also stochasticinterest rate. More specifically, the underlying asset process is governed by amean-reverting interest rate process in addition to two mean-reverting stochasticvolatility processes of fast and slow mean-reverting rates respectively. The focusis to derive an approximating formula for pricing the European option using adouble asymptotic expansion method.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:38:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 40. Time-Varying Isotropic Vector Random Fields on Compact Two-Point Homogeneous Spaces Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_39_j_idt606",{id:"formSmash:items:resultList:39:j_idt606",widgetVar:"widget_formSmash_items_resultList_39_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_39_j_idt609",{id:"formSmash:items:resultList:39:j_idt609",widgetVar:"widget_formSmash_items_resultList_39_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:39:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Ma, ChunshengWichita State University, USA.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:39:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Time-Varying Isotropic Vector Random Fields on Compact Two-Point Homogeneous SpacesManuscript (preprint) (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_39_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:39:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_39_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); A general form of the covariance matrix function is derived in this paper for a vector random field that is isotropic and mean square continuous on acompact connected two-point homogeneous space and stationary on a temporal domain. A series representation is presented for such a vector random field, which involve Jacobi polynomials and the distance defined on the compact two-point homogeneous space.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:39:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 41. EDITORIAL Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_40_j_idt606",{id:"formSmash:items:resultList:40:j_idt606",widgetVar:"widget_formSmash_items_resultList_40_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_40_j_idt609",{id:"formSmash:items:resultList:40:j_idt609",widgetVar:"widget_formSmash_items_resultList_40_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:40:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Mishura, YuTaras Shevchenko Natl Univ Kyiv, Kiev, Ukraine..Olenko, A.La Trobe Univ, Melbourne, Vic, Australia..Ostoja-Starzewski, M.Univ Illinois, Urbana, IL USA..PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:40:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); EDITORIAL2022In: THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS, ISSN 0094-9000, Vol. 106, p. 1-1Article in journal (Refereed)42. EDITORIAL Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_41_j_idt606",{id:"formSmash:items:resultList:41:j_idt606",widgetVar:"widget_formSmash_items_resultList_41_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_41_j_idt609",{id:"formSmash:items:resultList:41:j_idt609",widgetVar:"widget_formSmash_items_resultList_41_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:41:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Mishura, YU.Taras Shevchenko Natl Univ Kyiv, Kiev, Ukraine..Olenko, A.La Trobe Univ, Melbourne, Vic, Australia..Ostoja-starzewski, M.Univ Illinois, Urbana, IL USA..PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:41:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); EDITORIAL2022In: THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS, ISSN 0094-9000, Vol. 106, p. 1-1Article in journal (Other academic)43. EDITORIAL Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_42_j_idt606",{id:"formSmash:items:resultList:42:j_idt606",widgetVar:"widget_formSmash_items_resultList_42_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_42_j_idt609",{id:"formSmash:items:resultList:42:j_idt609",widgetVar:"widget_formSmash_items_resultList_42_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:42:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Mishura, YuTaras Shevchenko Natl Univ Kyiv, Kiev, Ukraine..Olenko, A.La Trobe Univ, Bundoora, Vic, Australia..Ostoja-Starzewski, M.Univ Illinois, Urbana, IL USA..Sakhno, L.Taras Shevchenko Natl Univ Kyiv, Kiev, Ukraine..PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:42:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); EDITORIAL2021In: THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS, ISSN 0094-9000, Vol. 105, p. 1-2Article in journal (Other academic)44. Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_43_j_idt606",{id:"formSmash:items:resultList:43:j_idt606",widgetVar:"widget_formSmash_items_resultList_43_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_43_j_idt609",{id:"formSmash:items:resultList:43:j_idt609",widgetVar:"widget_formSmash_items_resultList_43_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:43:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Mishura, YuliiaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. Shevchenko National University of Kyiv, Ukraine.Ralchenko, KostiantynSydney Mathematical Research Institute, The University of Sydney, Sydney NSW 2006, Australia.Shklyar, SergiyDepartment of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, 64/13, Volodymyrska Street, 01601 Kyiv, Ukraine.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:43:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst indexManuscript (preprint) (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_43_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:43:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_43_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); This paper is devoted to the study of the properties of entropy as a function of the Hurst index, which corresponds to the fractional Gaussian noise. Since the entropy of the Gaussian vector depends on the determinant of the covariance matrix, and the behavior of this determinant as a function of the Hurst index is rather difficult to study analytically at high dimensions, we also consider simple alternative entropy functionals, whose behavior, on the one hand, mimics the behavior of entropy and, on the other hand, is not difficult to study. Asymptotic behavior of the normalized entropy (so called entropy rate) is also studied for the entropy and for the alternative functionals.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:43:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 45. Properties of Various Entropies of Gaussian Distribution and Comparison of Entropies of Fractional Processes Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_44_j_idt606",{id:"formSmash:items:resultList:44:j_idt606",widgetVar:"widget_formSmash_items_resultList_44_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_44_j_idt609",{id:"formSmash:items:resultList:44:j_idt609",widgetVar:"widget_formSmash_items_resultList_44_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:44:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Mishura, YuliiyaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ralchenko, KostiantynSydney Mathematical Research Institute, The University of Sydney, Sydney NSW 2006, Australia.Rudyk, Yevheniia AnastasiiaTaras Shevchenko National Unversity of Kyiv, Ukraine.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:44:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Properties of Various Entropies of Gaussian Distribution and Comparison of Entropies of Fractional Processes2023In: Axioms, ISSN 2075-1680, Vol. 12, no 11, article id 1026Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_44_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:44:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_44_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We consider five types of entropies for Gaussian distribution: Shannon, Rényi, generalized Rényi, Tsallis and Sharma–Mittal entropy, establishing their interrelations and their properties as the functions of parameters. Then, we consider fractional Gaussian processes, namely fractional, subfractional, bifractional, multifractional and tempered fractional Brownian motions, and compare the entropies of one-dimensional distributions of these processes.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:44:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 46. Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_45_j_idt606",{id:"formSmash:items:resultList:45:j_idt606",widgetVar:"widget_formSmash_items_resultList_45_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_45_j_idt609",{id:"formSmash:items:resultList:45:j_idt609",widgetVar:"widget_formSmash_items_resultList_45_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:45:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Mishura, YuliiyaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, 64/13, Volodymyrska Street, 01601 Kyiv, Ukraine.Ralchenko, KostiantynDepartment of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, 64/13, Volodymyrska Street, 01601 Kyiv, Ukraine.Shklyar, SergiyDepartment of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, 64/13, Volodymyrska Street, 01601 Kyiv, Ukraine.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:45:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index2023In: Fractional Calculus and Applied Analysis, ISSN 1311-0454, E-ISSN 1314-2224Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_45_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:45:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_45_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); This paper is devoted to the study of the properties of entropy as a function of the Hurst index, which corresponds to the fractional Gaussian noise. Since the entropy of the Gaussian vector depends on the determinant of the covariance matrix, and the behavior of this determinant as a function of the Hurst index is rather difficult to study analytically at high dimensions, we also consider simple alternative entropy functionals, whose behavior, on the one hand, mimics the behavior of entropy and, on the other hand, is not difficult to study. Asymptotic behavior of the normalized entropy (so called entropy rate) is also studied for the entropy and for the alternative functionals.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:45:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 47. Approximation of fractional integrals of Hölder functions Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_46_j_idt606",{id:"formSmash:items:resultList:46:j_idt606",widgetVar:"widget_formSmash_items_resultList_46_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_46_j_idt609",{id:"formSmash:items:resultList:46:j_idt609",widgetVar:"widget_formSmash_items_resultList_46_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:46:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Mishura, YuliiyaDepartment of Probability Theory, Stati-stics and Actuarial Mathematics, TarasShevchenko National University of Kyiv, 64/13,Volodymyrska Street, 01601 Kyiv, Ukraine.Rudyk, EvgeniaDepartment of Probability Theory, Stati-stics and Actuarial Mathematics, TarasShevchenko National University of Kyiv, 64/13,Volodymyrska Street, 01601 Kyiv, Ukraine.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:46:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Approximation of fractional integrals of Hölder functions2022In: Bulletin of Taras Shevchenko National University of Kyiv Series:Physics & Mathematics, ISSN 1812-5409, Vol. 2022, no 4, p. 18-25Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_46_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:46:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_46_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The paper is devoted to the rate of convergence of integral sums of two different types of fractional integrals. The first theorem proves the Hölder property of fractional integrals of functions from various integral spaces. Then we estimate the rate of convergence of the integral sums of two types corresponding to the Hölder functions, to the respective fractional integrals. We illustrate the obtained results by several figures.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:46:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 48. Advanced Monte Carlo pricing of European options in a market model with two stochastic volatilities Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_47_j_idt606",{id:"formSmash:items:resultList:47:j_idt606",widgetVar:"widget_formSmash_items_resultList_47_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_47_j_idt609",{id:"formSmash:items:resultList:47:j_idt609",widgetVar:"widget_formSmash_items_resultList_47_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:47:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Canhanga, BetuelFaculty of Sciences, Department of Mathematics and Computer Sciences,Eduardo Mondlane University, Box 257, Maputo, Mozambique.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:47:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Advanced Monte Carlo pricing of European options in a market model with two stochastic volatilities2018In: Proceedings : 5th Stochastic Modeling Techniques and Data Analysis International Conference withDemographics Workshop (SMTDA2018) / [ed] Christos H Skiadas, ISAST: International Society for the Advancement of Science and Technology, 2018, p. 409-422Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_47_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:47:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_47_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We consider a market model with four correlated factors and two stochastic volatilities, one of which is rapid-changing, while another one is slow-changing in time. An advanced Monte Carlo methods based on the theory of cubature in Wiener space, is used to find the no-arbitrage price of the European call option in the above model.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:47:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 49. Evolution of forward curves in the Heath–Jarrow–Morton framework by cubature method on Wiener space Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_48_j_idt606",{id:"formSmash:items:resultList:48:j_idt606",widgetVar:"widget_formSmash_items_resultList_48_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_48_j_idt609",{id:"formSmash:items:resultList:48:j_idt609",widgetVar:"widget_formSmash_items_resultList_48_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:48:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Nohrouzian, HosseinMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:48:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Evolution of forward curves in the Heath–Jarrow–Morton framework by cubature method on Wiener space2021In: Communications in Statistics: Case Studies, Data Analysis and Applications, E-ISSN 2373-7484, Vol. 7, no 4, p. 717-735Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_48_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:48:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_48_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The multi-curve extension of the Heath–Jarrow–Morton framework is a popular method for pricing interest rate derivatives and overnight indexed swaps in the post-crisis financial market. That is, the set of forward curves is represented as a solution to an initial boundary value problem for an infinite-dimensional stochastic differential equation. In this paper, we review the post-crisis market proxies for interest rate models. Then, we consider a simple model that belongs to the above framework. This model is driven by a single Wiener process, and we discretize the space of trajectories of its driver by cubature method on Wiener space. After that, we discuss possible methods for numerical solution of the resulting deterministic boundary value problem in the finite-dimensional case. Finally, we compare the obtained numerical solutions of cubature method with the classical Monte Carlo simulation.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:48:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 50. An Algebraic Method for Pricing Financial Instruments on Post-crisis Market Malyarenko, Anatoliy PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_49_j_idt606",{id:"formSmash:items:resultList:49:j_idt606",widgetVar:"widget_formSmash_items_resultList_49_j_idt606",onLabel:"Malyarenko, Anatoliy ",offLabel:"Malyarenko, Anatoliy ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_49_j_idt609",{id:"formSmash:items:resultList:49:j_idt609",widgetVar:"widget_formSmash_items_resultList_49_j_idt609",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:49:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Nohrouzian, HosseinMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:49:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); An Algebraic Method for Pricing Financial Instruments on Post-crisis Market2020In: Algebraic Structures and Applications / [ed] Sergei Silvestrov, Anatoliy Malyarenko, Milica Rancic, Springer Nature, 2020, Vol. 317, p. 839-856Chapter in book (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_49_j_idt644_0_j_idt645",{id:"formSmash:items:resultList:49:j_idt644:0:j_idt645",widgetVar:"widget_formSmash_items_resultList_49_j_idt644_0_j_idt645",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); After the financial crisis of 2007, significant spreads between interbank rates associated to different maturities have emerged. To model them, we apply the Heath--Jarrow--Morton framework. The price of a financial instrument can then be approximated using cubature formulae on Wiener space in the infinite-dimensional setting. We present a short introduction to the area and illustrate the methods by examples.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:49:j_idt644:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500});

CiteExportLink to result list
http://mdh.diva-portal.org/smash/resultList.jsf?query=&language=en&searchType=SIMPLE&noOfRows=50&sortOrder=author_sort_asc&sortOrder2=title_sort_asc&onlyFullText=false&sf=all&aq=%5B%5B%7B%22personId%22%3A%22authority-person%3A30490+OR+0000-0002-0139-0747%22%7D%5D%5D&aqe=%5B%5D&aq2=%5B%5B%5D%5D&af=%5B%5D $(function(){PrimeFaces.cw("InputTextarea","widget_formSmash_lower_j_idt926_recordPermLink",{id:"formSmash:lower:j_idt926:recordPermLink",widgetVar:"widget_formSmash_lower_j_idt926_recordPermLink",autoResize:true});}); $(function(){PrimeFaces.cw("OverlayPanel","widget_formSmash_lower_j_idt926_j_idt928",{id:"formSmash:lower:j_idt926:j_idt928",widgetVar:"widget_formSmash_lower_j_idt926_j_idt928",target:"formSmash:lower:j_idt926:permLink",showEffect:"blind",hideEffect:"fade",my:"right top",at:"right bottom",showCloseIcon:true});});

Permanent link

Cite

Citation styleapa ieee modern-language-association-8th-edition vancouver Other style $(function(){PrimeFaces.cw("SelectOneMenu","widget_formSmash_lower_j_idt944",{id:"formSmash:lower:j_idt944",widgetVar:"widget_formSmash_lower_j_idt944",behaviors:{change:function(ext) {PrimeFaces.ab({s:"formSmash:lower:j_idt944",e:"change",f:"formSmash",p:"formSmash:lower:j_idt944",u:"formSmash:lower:otherStyle"},ext);}}});});

- apa
- ieee
- modern-language-association-8th-edition
- vancouver
- Other style

Languagede-DE en-GB en-US fi-FI nn-NO nn-NB sv-SE Other locale $(function(){PrimeFaces.cw("SelectOneMenu","widget_formSmash_lower_j_idt955",{id:"formSmash:lower:j_idt955",widgetVar:"widget_formSmash_lower_j_idt955",behaviors:{change:function(ext) {PrimeFaces.ab({s:"formSmash:lower:j_idt955",e:"change",f:"formSmash",p:"formSmash:lower:j_idt955",u:"formSmash:lower:otherLanguage"},ext);}}});});

- de-DE
- en-GB
- en-US
- fi-FI
- nn-NO
- nn-NB
- sv-SE
- Other locale

Output formathtml text asciidoc rtf $(function(){PrimeFaces.cw("SelectOneMenu","widget_formSmash_lower_j_idt965",{id:"formSmash:lower:j_idt965",widgetVar:"widget_formSmash_lower_j_idt965"});});

- html
- text
- asciidoc
- rtf