3 papers
q-fin.ST2024
PDSim: A Shiny App for Simulating and Estimating Polynomial Diffusion Models in Commodity Futures
Peilun He, Nino Kordzakhia, Gareth W. Peters +1
PDSim is an R package that enables users to simulate commodity futures prices using the polynomial diffusion model introduced in Filipovic & Larsson (2016) through both a Shiny web…
q-fin.PR2017
A note on the impact of management fees on the pricing of variable annuity guarantees
Jin Sun, Pavel V. Shevchenko, Man Chung Fung
Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder's retirement fund with electable additional guarantees to limit the do…
cond-mat.supr-con1997
The bulk Josephson responce of the d-g-wave cuprate superconductor
M. Yu. Kuchiev, P. V. Shevchenko, O. P. Sushkov
We consider the implications of the small Fermi surface for the ab-plane microwave absorption. The small Fermi surface results in two superconducting condensates. Linear combinatio…