Works (14)
Updated: July 5th, 2023 15:59
2005 journal article
Time-reversal refocusing for point source in randomly layered media
WAVE MOTION, 42(3), 238–260.
author keywords: acoustic waves; random media; asymptotic theory; time reversal
UN Sustainable Development Goal Categories
11. Sustainable Cities and Communities
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
2004 journal article
Maturity cycles in implied volatility
FINANCE AND STOCHASTICS, 8(4), 451–477.
author keywords: implied volatilities; maturity cycles; fast mean-reverting stochastic volatility; asymptotic expansions
TL;DR:
It is shown that the skew effect in market implied volatility can be reproduced by option pricing theory based on stochastic volatility models for the price of the underlying asset in a manner consistent with a large model class for the underlying price dynamics with time-periodic volatility coefficients.
(via Semantic Scholar)
open access via citeseerx.ist.psu.edu (repository)
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
2004 journal article
Robustness of time reversal for waves in time-dependent random media
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 113(2), 289–313.
author keywords: inhomogeneous media; asymptotic theory; time reversal
UN Sustainable Development Goal Categories
11. Sustainable Cities and Communities
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
2004 journal article
Shock structure due to stochastic forcing and the time reversal of nonlinear waves
PHYSICA D-NONLINEAR PHENOMENA, 195(3-4), 324–346.
author keywords: nonlinear waves; inhomogeneous media; viscous shock; time reversal
UN Sustainable Development Goal Categories
14. Life Below Water
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
2004 journal article
Stochastic volatility corrections for interest rate derivatives
Mathematical Finance: An International Journal of Mathematics, Statistics, and Financial Theory, 14(2), 173–200.
Source: NC State University Libraries
Added: August 6, 2018
2004 journal article
Time reversal for dispersive waves in random media
SIAM JOURNAL ON APPLIED MATHEMATICS, 64(5), 1810–1838.
author keywords: dispersive waves; inhomogeneous media; asymptotic theory; time reversal
TL;DR:
The important case of one-dimensional dispersive waves is addressed, where the coherent front wave is destroyed while time reversal of the incoherent transmitted wave still enables refocusing.
(via Semantic Scholar)
UN Sustainable Development Goal Categories
14. Life Below Water
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
2004 journal article
Time-reversal simulations for detection in randomly layered media
WAVES IN RANDOM MEDIA, 14(2), 185–198.
UN Sustainable Development Goal Categories
11. Sustainable Cities and Communities
(Web of Science)
Sources: Web Of Science, NC State University Libraries
Added: August 6, 2018
2004 journal article
Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models
QUANTITATIVE FINANCE, 4(5), 597–606.
Source: Web Of Science
Added: August 6, 2018
2003 journal article
Multiscale stochastic volatility asymptotics
MULTISCALE MODELING & SIMULATION, 2(1), 22–42.
author keywords: stochastic volatility; time scales; singular regular perturbations; option pricing; implied volatility
TL;DR:
This paper proposes to use a combination of regular and singular perturbations to analyze parabolic PDEs that arise in the context of pricing options when the volatility is a stochastic process that varies on several characteristic time scales.
(via Semantic Scholar)
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
2003 journal article
Pricing Asian options with stochastic volatility
QUANTITATIVE FINANCE, 3(5), 353–362.
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
2003 journal article
Singular perturbations in option pricing
SIAM JOURNAL ON APPLIED MATHEMATICS, 63(5), 1648–1665.
author keywords: mathematical finance; option pricing; stochastic volatility; singular perturbations
TL;DR:
It is shown that, in the presence of time scales between the main observed process and the volatility driving process, asymptotic methods are very efficient in capturing the effects of random volatility in simple robust corrections to constant volatility formulas.
(via Semantic Scholar)
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
2003 journal article
Time-reversal aperture enhancement
MULTISCALE MODELING & SIMULATION, 1(2), 239–259.
author keywords: wave propagation; random media; superresolution; time-reversal; diffusion approximation
TL;DR:
This paper gives a complete analysis of time- reversal of waves emanating from a point source and propagating in a randomly layered medium and shows that random medium fluctuations actually enhance the spatial refocusing around the initial source position.
(via Semantic Scholar)
UN Sustainable Development Goal Categories
11. Sustainable Cities and Communities
(Web of Science)
14. Life Below Water
(OpenAlex)
Source: Web Of Science
Added: August 6, 2018
2003 journal article
Time-reversed refocusing of surface water waves
MULTISCALE MODELING & SIMULATION, 1(4), 609–629.
author keywords: water waves; inhomogeneous media; asymptotic theory
TL;DR:
A brief mathematical review of the time-reversal (in reflection) theory is presented in the context of the linear shallow water equations, and the numerically refocused pulse is compared with the theoretical predicted shape.
(via Semantic Scholar)
UN Sustainable Development Goal Categories
6. Clean Water and Sanitation
(OpenAlex)
11. Sustainable Cities and Communities
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
2000 book
Derivatives in financial markets with stochastic volatility
Cambridge; New York: Cambridge University Press.
Source: NC State University Libraries
Added: August 6, 2018
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