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q-fin.MF2025
Stochastic Volatility Model with Sticky Drawdown and Drawup Processes: A Deep Learning Approach
Yuhao Liu, Pingping Jiang, Gongqiu Zhang
We propose a new financial model, the stochastic volatility model with sticky drawdown and drawup processes (SVSDU model), which enables us to capture the features of winning and l…
q-fin.MF2020
Geometric Brownian motion with affine drift and its time-integral
Runhuan Feng, Pingping Jiang, Hans Volkmer
The joint distribution of a geometric Brownian motion and its time-integral was derived in a seminal paper by Yor (1992) using Lamperti's transformation, leading to explicit soluti…