In this paper, we introduce and analyze the fractional Barndorff-Nielsen and Shephard (BN-
S) stochastic volatility model. The proposed model is based upon two desirable properties of …

the numerical results show that the provided VIX forecasting models can help the investors
to evaluate the volatility-related exchange traded products. 1. According to the Futures …

In this paper, we present a sequential hypothesis test for the detection of the distribution of
jump size in Lévy processes. Infinitesimal generators for the corresponding log-likelihood …

In this paper, a refined Barndorff-Nielsen and Shephard (BN-S) model is implemented to find
an optimal hedging strategy for commodity markets. The refinement of the BN-S model is …

In this paper, the Barndorff‐Nielsen and Shephard (BN‐S) model is implemented to find an
optimal hedging strategy in the presence of quantity risk for oil produced in the Bakken, a …

Sampling within a given interval with a constraint has not been previously considered.
Standard parametric simulation engines require knowledge of the parameters of the …

Volatility forecasting plays an important role in decisions concerning risk assessment, asset
valuation and monetary policy formulation. Forecasting implied volatility is a key parameter …

The obesity epidemic represents an important public health issue in the United States.
Studying obesity trends across age groups over time helps to identify crucial relationships …

This paper explores the role of gender gap in the actuarial research community with
advanced data science tools. The web scraping tools were employed to create a database …

In this paper, we derive closed-form formulas for moments of the asset price in the Barndorff-
Nielsen and Shephard (BN–S) stochastic volatility model. We also present similar results …