2 papers
physics.comp-ph2018
Stochastic first passage time accelerated with CUDA
Vincenzo Pierro, Luigi Troiano, Elena Mejuto +1
The numerical integration of stochastic trajectories to estimate the time to pass a threshold is an interesting physical quantity, for instance in Josephson junctions and atomic fo…
q-fin.CP2017
An Alternative Estimation of Market Volatility based on Fuzzy Transform
Luigi Troiano, Elena Mejuto Villa, Pravesh Kriplani
Realization of uncertainty of prices is captured by volatility, that is the tendency of prices to vary along a period of time. This is generally measured as standard deviation of d…