We implement the Heston stochastic volatility model by using multidimensional Ornstein-Uhlenbeck processes and a special Girsanov transformation, and consider the Malliavin calculus of this model. We derive explicit formulas for the Malliavin derivatives of the Heston volatility and the...

There is increasing deployment of machine learning algorithms by financial institutions during and after the coronavirus pandemic. However, majority of these models are being implemented for credit risk management, anti-fraud and anti-money laundering use cases. Moreover, previous research and...

Measurement invariance (MI) is a pre-requisite for comparing latent variable scores across groups. The current paper introduces the concept of approximate MI building on the work of Muthén and Asparouhov and their application of Bayesian Structural Equation Modeling (BSEM) in the software...

The present paper introduces results of an analysis conducted on data collected from Khartoum state for the year 2009. It aims to apply statistical models for the HIV/AIDS data in Khartoum state centers of testing blood and counseling. AIDS is recognized as an emerging disease only in the early...

A Hidden Markov Model (HMM) is used to model the VIX (the Cboe Volatility Index). A 4- state Gaussian mixture is fitted to the VIX price history from 1990 to 2022. Using a growing window of training data, the price of the S&P500 is predicted and two trading algorithms are presented, based on the...

Network-Centric Meaning-Driven Human-Centric AI-Cyber Computing Beyond Data-Driven to Event-Driven Architectures for Quantum Uncertainty, 1995-2023:Building upon the contextual focus of current global worldwide discussions on GPT, ChatGPT, GenAI, Generative AI, Large Language Model - LLMs, we...

Goal: ISO 31000 Risk Management (RM) recently re-defined risk as the effect of uncertainty on an organization's ability to meet the objectives. Earlier, it defined risk as a combination of the probability and scope of the (predicted) consequences. The revised ISO Risk advances beyond a static...

In Albers & Albers (Spring, 2013) we demonstrated that the historic development of U.S. real GNP, 1869-present, may be structured in recurring 14-year periods. A steady-state rate of growth of 3.4969% is thereby calculated, generating an increase in real GNP proportional to the famous “Golden...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...