Relevant bibliographies by topics / Stochastic spread

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  2. Dissertations / Theses
  3. Books
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Academic literature on the topic 'Stochastic spread'

Author: Grafiati
Published: 3 June 2025
Last updated: 19 July 2025

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Journal articles on the topic "Stochastic spread"

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O'DONOGHUE, BRENDAN, MATTHEW PEACOCK, JACKY LEE, and LUCA CAPRIOTTI. "A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS." International Journal of Theoretical and Applied Finance 17, no. 03 (2014): 1450017. http://dx.doi.org/10.1142/s0219024914500174.

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In this paper, we propose a novel, analytically tractable, one-factor stochastic model for the dynamics of credit default swap (CDS) spreads and their returns, which we refer to as the spread-return mean-reverting (SRMR) model. The SRMR model can be seen as a hybrid of the Black–Karasinski model on spreads and the Ornstein–Uhlenbeck model on spread returns, and is able to capture empirically observed properties of CDS spreads and returns, including spread mean-reversion, heavy tails of the return distribution, and return autocorrelations. Although developed for modeling CDS spreads, the SRMR m
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Jansen, Vincent A. A., Michael Turelli, and H. Charles J. Godfray. "Stochastic spread of Wolbachia." Proceedings of the Royal Society B: Biological Sciences 275, no. 1652 (2008): 2769–76. http://dx.doi.org/10.1098/rspb.2008.0914.

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Wolbachia are very common, maternally transmitted endosymbionts of insects. They often spread by a mechanism termed cytoplasmic incompatibility (CI) that involves reduced egg hatch when Wolbachia -free ova are fertilized by sperm from Wolbachia -infected males. Because the progeny of Wolbachia -infected females generally do not suffer CI-induced mortality, infected females are often at a reproductive advantage in polymorphic populations. Deterministic models show that Wolbachia that impose no costs on their hosts and have perfect maternal transmission will spread from arbitrarily low frequenci
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Braun, Willard J. "Assessing a Stochastic Fire Spread Simulator." Journal of Environmental Informatics 22, no. 1 (2013): 1–12. http://dx.doi.org/10.3808/jei.201300241.

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Morishita, Yasaburo. "A stochastic model of fire spread." Fire Science and Technology 5, no. 1 (1985): 1–10. http://dx.doi.org/10.3210/fst.5.1.

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Hu, Linchao, Mugen Huang, Moxun Tang, Jianshe Yu, and Bo Zheng. "Wolbachia spread dynamics in stochastic environments." Theoretical Population Biology 106 (December 2015): 32–44. http://dx.doi.org/10.1016/j.tpb.2015.09.003.

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Tan, W. Y., and H. Hsu. "Some stochastic models of AIDS spread." Statistics in Medicine 8, no. 1 (1989): 121–36. http://dx.doi.org/10.1002/sim.4780080112.

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Levendis, Alexis, and Eben Maré. "Efficient Pricing of Spread Options with Stochastic Rates and Stochastic Volatility." Journal of Risk and Financial Management 15, no. 11 (2022): 504. http://dx.doi.org/10.3390/jrfm15110504.

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Spread options are notoriously difficult to price without the use of Monte Carlo simulation. Some strides have been made in recent years through the application of Fourier transform methods; however, to date, these methods have only been applied to specific underlying processes including two-factor geometric Brownian motion (gBm) and three-factor stochastic volatility models. In this paper, we derive the characteristic function for the two-asset Heston–Hull–White model with a full correlation matrix and apply the two-dimensional fast Fourier transform (FFT) method to price equity spread option
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Tiešis, Vytautas. "The infection spread model among grouped drug users." Lietuvos matematikos rinkinys, no. III (December 17, 1999): 453–57. http://dx.doi.org/10.15388/lmd.1999.35693.

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The stochastic model of an infection spread among intravenous drug users was built in the case when a group of drug users shares one filled syringe. The impact of various factors to the rate of spread was investigated by the stochastic simulation.
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Jin, Yunguo, and Shouming Zhong. "Pricing Spread Options with Stochastic Interest Rates." Mathematical Problems in Engineering 2014 (2014): 1–11. http://dx.doi.org/10.1155/2014/734265.

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Although spread options have been extensively studied in the literature, few papers deal with the problem of pricing spread options with stochastic interest rates. This study presents three novel spread option pricing models that permit the interest rates to be random. The paper not only presents a good approach to formulate spread option pricing models with stochastic interest rates but also offers a new test bed to understand the dynamics of option pricing with interest rates in a variety of asset pricing models. We discuss the merits of the models and techniques presented by us in some asse
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Lewis, M. A. "Spread rate for a nonlinear stochastic invasion." Journal of Mathematical Biology 41, no. 5 (2000): 430–54. http://dx.doi.org/10.1007/s002850000022.

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Dissertations / Theses on the topic "Stochastic spread"

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Luo, Yi. "Spread Option Pricing with Stochastic Interest Rate." BYU ScholarsArchive, 2012. https://scholarsarchive.byu.edu/etd/3269.

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In this dissertation, we investigate the spread option pricing problem with stochastic interest rate. First, we will review the basic concept and theories of stochastic calculus, give an introduction of spread options and provide some examples of spread options in different markets. We will also review the market efficiency theory, arbitrage and assumptions that are commonly used in mathematical finance. In Chapter 3, we will review existing spread pricing models and term-structure models such as Vasicek Mode, and the Heath-Jarrow-Morton framework. In Chapter 4, we will use the martingale appr
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Luo, Siding. "A Stochastic Model for the spread of Pertussis." Thesis, Uppsala University, Department of Mathematics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-121728.

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Jiang, An. "American Spread Option Pricing with Stochastic Interest Rate." BYU ScholarsArchive, 2016. https://scholarsarchive.byu.edu/etd/5987.

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In financial markets, spread option is a derivative security with two underlying assets and the payoff of the spread option depends on the difference of these assets. We consider American style spread option which allows the owners to exercise it at any time before the maturity. The complexity of pricing American spread option is that the boundary of the corresponding partial differential equation which determines the option price is unknown and the model for the underlying assets is two-dimensional.In this dissertation, we incorporate the stochasticity to the interest rate and assume that it
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Boafo-Yirenkyi, Theophilus Harry Samuel. "Valuing credit spread options under stochastic volatility/interest rates." Thesis, London School of Economics and Political Science (University of London), 2003. http://etheses.lse.ac.uk/2124/.

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This thesis studies the pricing of credit spread options in a continuous time setting. Our main examples are credit spreads between US government bonds and highly risky emerging market bonds, such as Argentina, Brazil, Mexico, etc. Based on empirical findings we model the credit spread options as a geometric Brownian Motion with stochastic volatility. We implement and compare several one-factor stochastic volatility models, namely the Vasicek, Cox-Ingersoll-Ross and Ahn/Gao. As a stochastic model for the credit risk free interest rate, we use the Vasicek model. As a further new ingredient we i
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Venkatachalam, Sangeeta. "Modeling Infectious Disease Spread Using Global Stochastic Field Simulation." Thesis, University of North Texas, 2006. https://digital.library.unt.edu/ark:/67531/metadc5335/.

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Susceptibles-infectives-removals (SIR) and its derivatives are the classic mathematical models for the study of infectious diseases in epidemiology. In order to model and simulate epidemics of an infectious disease, a global stochastic field simulation paradigm (GSFS) is proposed, which incorporates geographic and demographic based interactions. The interaction measure between regions is a function of population density and geographical distance, and has been extended to include demographic and migratory constraints. The progression of diseases using GSFS is analyzed, and similar behavior to t
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Cairns, Andrew John George. "Epidemics in heterogeneous populations : spread, estimation and control." Thesis, Heriot-Watt University, 1990. http://hdl.handle.net/10399/893.

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Hong, S. G. "Pricing and hedging of spread options with stochastic component correlation." Thesis, University of Cambridge, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.604205.

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Spread options are derivatives securities with payoffs dependent on the difference of two underlying market variables. Though the importance and wide applicability of this class of instruments have long been recognised, the theoretical problem of valuing them beyond the simple Geometric Brownian motion assumption has not been successfully tackled. This thesis proposes several new methods to solve the option pricing problem under multi-factor stochastic volatility models. The correlation structure between the stochastic components generated by these models is a function of time, the diffusion p
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Mendy, Sang Taphou. "Quasi-stationarity of stochastic models for the spread of infectious diseases." Thesis, University of Liverpool, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.507720.

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Xiao, Yuewen Banking &amp Finance Australian School of Business UNSW. "Transaction size and effective spread: an informational relationship." Publisher:University of New South Wales. Banking & Finance, 2008. http://handle.unsw.edu.au/1959.4/43312.

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The relationship between quantity traded and transaction costs has been one of the main focuses among financial scholars and practitioners. The purpose of this thesis is to investigate the informational relationship between these variables. Following insights and results of Milgrom (1981), Feldman (2004), and Feldman and Winer (2004), we use New York Stock Exchange (NYSE) data and kernel estimation methods to construct the distribution of one variable conditional on the other. We then study the information in these conditional distributions: the extent to which they are ordered by first order
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Chen, Sijin. "Asian Spread Option Pricing Models and Computation." BYU ScholarsArchive, 2010. https://scholarsarchive.byu.edu/etd/2369.

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In the commodity and energy markets, there are two kinds of risk that traders and analysts are concerned a lot about: multiple underlying risk and average price risk. Spread options, swaps and swaptions are widely used to hedge multiple underlying risks and Asian (average price) options can deal with average price risk. But when those two risks are combined together, then we need to consider Asian spread options and Asian-European spread options for hedging purposes. For an Asian or Asian-European spread call option, its payoff depends on the difference of two underlyings' average price or of
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Books on the topic "Stochastic spread"

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Young, H. Peyton. Spontaneous Order. Oxford University PressOxford, 2024. http://dx.doi.org/10.1093/oso/9780198892908.001.0001.

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Abstract This book argues that equilibrium behaviors often coalesce from the interactions and experiences of many dispersed individuals acting with fragmentary knowledge of the world, rather than from the actions of fully rational agents with commonly held beliefs, as is often assumed in economic theory. The book presents a unified and rigorous account of how such “bottom-up” evolutionary processes work using recent advances in stochastic dynamical systems theory. The framework illuminates how social norms and institutions evolve, how social and technical innovations spread in society, and how
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Bianconi, Ginestra. Multilayer Networks. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198753919.001.0001.

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Multilayer networks are formed by several networks that interact with each other and co-evolve. Multilayer networks include social networks, financial markets, transportation systems, infrastructures and molecular networks and the brain. The multilayer structure of these networks strongly affects the properties of dynamical and stochastic processes defined on them, which can display unexpected characteristics. For example, interdependencies between different networks of a multilayer structure can cause cascades of failure events that can dramatically increase the fragility of these systems; sp
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Husband, Brian Charles. Stochastic processes and the evolution of self-fertilization in eichhornia paniculata (spreng.) solms. (pontederiaceae). 1992.

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Book chapters on the topic "Stochastic spread"

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Lewis, Mark A., Sergei V. Petrovskii, and Jonathan R. Potts. "Stochastic Spread." In Interdisciplinary Applied Mathematics. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-32043-4_8.

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Hoshiya, Masaru. "Probability of Liquefaction Spread." In Stochastic Structural Dynamics 2. Springer Berlin Heidelberg, 1991. http://dx.doi.org/10.1007/978-3-642-84534-5_4.

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Atangana, Abdon, and Seda İgret Araz. "History on Covid-19 Spread." In Fractional Stochastic Differential Equations. Springer Nature Singapore, 2022. http://dx.doi.org/10.1007/978-981-19-0729-6_1.

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Rosenkranz, Gerd. "Stochastic measure diffusions as models of growth and spread." In Stochastic Spatial Processes. Springer Berlin Heidelberg, 1986. http://dx.doi.org/10.1007/bfb0076252.

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Atangana, Abdon, and Seda İgret Araz. "A Simple SIR Model of Covid-19 Spread." In Fractional Stochastic Differential Equations. Springer Nature Singapore, 2022. http://dx.doi.org/10.1007/978-981-19-0729-6_5.

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Becker, Niels, and Ian Marschner. "The effect of heterogeneity on the spread of disease." In Stochastic Processes in Epidemic Theory. Springer Berlin Heidelberg, 1990. http://dx.doi.org/10.1007/978-3-662-10067-7_9.

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Rios, Paulo R., Filipi G. Cardoso, Tiago A. Neves, and José Roberto C. Guimarães. "Computer Simulation of Martensite Spread: A Stochastic Approach." In TMS2015 Supplemental Proceedings. John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119093466.ch84.

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Rios, Paulo R., Filipi G. Cardoso, Tiago A. Neves, and José Roberto C. Guimarães. "Computer Simulation of Martensite Spread: A Stochastic Approach." In TMS 2015 144th Annual Meeting & Exhibition. Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-48127-2_84.

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Lefèvre, Claude, and Philippe Picard. "The final size distribution of epidemics spread by infectives behaving independently." In Stochastic Processes in Epidemic Theory. Springer Berlin Heidelberg, 1990. http://dx.doi.org/10.1007/978-3-662-10067-7_15.

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Lim, Thomas, Vathana Ly Vath, Jean-Michel Sahut, and Simone Scotti. "Bid-Ask Spread Modelling, a Perturbation Approach." In Seminar on Stochastic Analysis, Random Fields and Applications VII. Springer Basel, 2013. http://dx.doi.org/10.1007/978-3-0348-0545-2_21.

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Conference papers on the topic "Stochastic spread"

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Haghighi, Behrouz, Mohammad Passandideh-Fard, and Javad Mostaghimi. "Modeling the Formation of Thermal Spray Coatings on a Rough Substrate." In ITSC 2025. ASM International, 2025. https://doi.org/10.31399/asm.cp.itsc2025p0253.

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Abstract Thermal spray coatings are typically applied to grit-blasted, rough surfaces, though coating models generally assume smooth substrates. This research involved simulating nickel coating formation on rough stainless-steel substrates in an atmospheric plasma spray process. The researchers evaluated coating topography, porosity, thickness, and roughness using a Monte-Carlo stochastic algorithm. The temperature differential between coating and substrate creates residual thermal stresses, which were analyzed using NIST's Object Oriented Finite element software (OOF). Results indicate that s
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Mintsa, J., M. Rachdi, and J. Demongeot. "Stochastic Approach in Modelling Epidemic Spread." In 2011 IEEE Workshops of International Conference on Advanced Information Networking and Applications (WAINA). IEEE, 2011. http://dx.doi.org/10.1109/waina.2011.153.

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Teranishi, Nao, and Masaki Kawamura. "Asynchronous Stochastic Decoder for Spread Spectrum Digital Watermarking." In 2011 Seventh International Conference on Intelligent Information Hiding and Multimedia Signal Processing (IIH-MSP). IEEE, 2011. http://dx.doi.org/10.1109/iihmsp.2011.41.

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Schweizer, Jorg. "Stochastic approach to spread spectrum communication using chaos." In Photonics East '95, edited by Jaafar M. H. Elmirghani. SPIE, 1995. http://dx.doi.org/10.1117/12.227892.

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Maggi, Lorenzo, Konstantin Avrachenkov, and Laura Cottatellucci. "Stochastic Games for Cooperative Network Routing and Epidemic Spread." In 2011 ICC - 2011 IEEE International Conference on Communication Workshop (ICC). IEEE, 2011. http://dx.doi.org/10.1109/iccw.2011.5963532.

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"Stochastic modeling of glioblastoma spread: a numerical simulation study." In the 13th International Workshop on Innovative Simulation for Healthcare. CAL-TEK srl, 2024. http://dx.doi.org/10.46354/i3m.2024.iwish.011.

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Kryzhevich, Sergey, and Maria Kryzhevich. "Branching of Cracks That Spread in Rocks." In 2016 Second International Symposium on Stochastic Models in Reliability Engineering, Life Science and Operations Management (SMRLO). IEEE, 2016. http://dx.doi.org/10.1109/smrlo.2016.88.

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Liu, Xiong, Dongying Li, and Wenxian Yu. "Radar Simultaneous Localization and Mapping (SLAM) for Stochastic Spread Targets." In 2018 Asia-Pacific Microwave Conference (APMC). IEEE, 2018. http://dx.doi.org/10.23919/apmc.2018.8617182.

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Maki, Yoshihiro, and Hideo Hirose. "Infectious Disease Spread Analysis Using Stochastic Differential Equations for SIR Model." In 2013 Fourth International Conference on Intelligent Systems, Modelling and Simulation (ISMS 2013). IEEE, 2013. http://dx.doi.org/10.1109/isms.2013.13.

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"Stochastic modelling of wind and its implication for wildfire spread predictions." In 24th International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, 2021. http://dx.doi.org/10.36334/modsim.2021.g3.masoudian.

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Reports on the topic "Stochastic spread"

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Borda, Patrice, and Allan Wright. Macroeconomic Fluctuations Under Natural Disaster Shocks in Central America and the Caribbean. Inter-American Development Bank, 2016. http://dx.doi.org/10.18235/0011778.

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This paper examines the role of disaster shock in a one-sector, representative agent dynamic stochastic general equilibrium model (DSGE). First, it estimates a panel vector autoregresive (VAR) model for output, investment, trade balance, consumption, and country spread to capture the economic effects of output, country risk, and exogenous natural disaster shocks. The study determines the empirical dynamic responses of ten Caribbean countries and seven countries in Central America. Second, by taking into account rare events and trend shocks, this paper also provides a baseline framework of the
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