We build a new class of discrete-time models that are relatively easy to estimate using returns and/or options. The distribution of returns is driven by two factors: dynamic volatility and dynamic jump intensity. Each factor has its own risk premium. The models significantly outperform standard models without jumps when estimated on S&P500 returns. We find very strong support for time-varying jump intensities. Compared to the risk premium on dynamic volatility, the risk premium on the dynamic jump intensity has a much larger impact on option prices. We confirm these findings using joint estimation on returns and large option samples.
The point-to-point connection problem is to find a subset of arcs with minimal total cost connecting a fixed number of source-destination pairs. The problem has many variations for different applications. In this paper, we focus on a case where the source-destination pairs are prematched. We examine the structure of the problem with two source-destination pairs and provide an efficient implementation of a Dijkstra-like algorithm with time complexity . We also provide a dynamic programming algorithm with complexity for the case with three source-destination pairs. We conjecture that the same approach can be generalized for p source-destination pairs with complexity where p Blazer Noir is fixed.
The ability of polyaniline (PANi) to act as a protective coating for mild steel corrosion in saline and acid was investigated by electrochemical impedance spectroscopy. The impedance behaviour is best explained by a mediated redox reaction in which PANi passivates the metal surface and reoxidizes itself by dissolved oxygen. The effectiveness of such a process, which also provides the repassivation of damaged films, is greater in acids. The performance of PANi is further enhanced Chaussure Blazer Nike Homme Solde Nike Blazer by the presence of a top coat to increase the diffusional resistance for the corrosion species.
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