Self-assembly of block-copolymer structures forin-situ nano-lithography

Ludvigsen, Emil; Telecka, Agnieszka; Li, Tao; Ndoni, Sokol; Taboryski, Rafael J.

doi:10.13052/jsame2245-4551.2018014

JSAME

2018

DOI: 10.13052/jsame2245-4551.2018014

|View full text |Cite

Self-assembly of block-copolymer structures forin-situ nano-lithography

Emil Ludvigsen

Agnieszka Telecka

Tao Li

et al.

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2024

Publication Types

Select...

Article1

Relationship

Self Cite0

Independent1

Authors

Journals

Cited by 1 publication

References 2 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

Charting the Unknown: First Passage Time Probabilities for Pearson Diffusion Process and Application to Options Risk Management

Patra,

Bhattacharyya

2024

ABR

View full text Add to dashboard Cite

The first passage time probabilities have applications in many fields, including Finance, Marketing, Economics, Physics, and Statistics. In this paper, we study the first passage time probabilities for a Pearson diffusion process and obtain the lower and upper bounds of the first passage time density. We show that the density may be approximated by the upper bound with an error of approximately five percent. We present an application by modelling the profit and loss function of the S&P 500, FTSE 100 and DAX 40 index options using a Pearson diffusion process. Further, we establish the relation between first passage time probabilities and MaxVaR, i.e., the intra-horizon risk and obtain the MaxVaR for various index options based on first passage time probabilities. This is important as MaxVaR can capture the risk and potential losses incurred at any time of the trading horizon. In addition, we conduct a sensitivity analysis on the parameters for the purpose of robustness.

show abstract

Charting the Unknown: First Passage Time Probabilities for Pearson Diffusion Process and Application to Options Risk Management

Patra,

Bhattacharyya

2024

ABR

View full text Add to dashboard Cite

show abstract

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

customersupport@researchsolutions.com

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

Self-assembly of block-copolymer structures forin-situ nano-lithography

Cited by 1 publication

References 2 publications

Charting the Unknown: First Passage Time Probabilities for Pearson Diffusion Process and Application to Options Risk Management

Charting the Unknown: First Passage Time Probabilities for Pearson Diffusion Process and Application to Options Risk Management

Contact Info

Product

Resources

About