Jove
Visualize
Contact Us
JoVE
x logofacebook logolinkedin logoyoutube logo
ABOUT JoVE
OverviewLeadershipBlogJoVE Help Center
AUTHORS
Publishing ProcessEditorial BoardScope & PoliciesPeer ReviewFAQSubmit
LIBRARIANS
TestimonialsSubscriptionsAccessResourcesLibrary Advisory BoardFAQ
RESEARCH
JoVE JournalMethods CollectionsJoVE Encyclopedia of ExperimentsArchive
EDUCATION
JoVE CoreJoVE BusinessJoVE Science EducationJoVE Lab ManualFaculty Resource CenterFaculty Site
Terms & Conditions of Use
Privacy Policy
Policies

Related Concept Videos

First Derivative Test: Problem Solving01:25

First Derivative Test: Problem Solving

Imagine an asset price that crashes to a low point, rebounds sharply as bargain-hunters step in, and then gradually declines. Such behavior can be modeled with a smooth function whose turning points represent locally overvalued and undervalued regions. A convenient example that captures rebound followed by decay is:The high and low points of this curve are identified using the first derivative test, which determines where the function changes from increasing to decreasing or vice versa. To...
Types of Biopharmaceutical Studies: Controlled and Non-Controlled Approaches01:23

Types of Biopharmaceutical Studies: Controlled and Non-Controlled Approaches

Biopharmaceutical studies constitute a vital field aiming to enhance drug delivery methods and refine therapeutic approaches, drawing upon diverse interdisciplinary knowledge. In research methodologies, the choice between controlled and non-controlled studies significantly influences the study's reliability and accuracy.
Non-controlled studies, commonly employed for initial exploration, lack a control group, rendering them susceptible to biases and external influences. In contrast, controlled...
Relative Risk01:12

Relative Risk

Relative risk (RR) is a statistical measure commonly used in epidemiology to compare the likelihood of a particular event occurring between two groups. This metric is important for evaluating the relationship between exposure to a specific risk factor and the probability of a particular outcome. It plays a crucial role in medical research, public health studies, and risk assessment. Relative risk quantifies how much more (or less) likely an event is to occur in an exposed group compared to an...
Actuarial Approach01:20

Actuarial Approach

The actuarial approach, a statistical method originally developed for life insurance risk assessment, is widely used to calculate survival rates in clinical and population studies. This method accounts for participants lost to follow-up or those who die from causes unrelated to the study, ensuring a more accurate representation of survival probabilities.
Consider the example of a high-risk surgical procedure with significant early-stage mortality. A two-year clinical study is conducted,...
Introduction To Survival Analysis01:18

Introduction To Survival Analysis

Survival analysis is a statistical method used to study time-to-event data, where the "event" might represent outcomes like death, disease relapse, system failure, or recovery. A unique feature of survival data is censoring, which occurs when the event of interest has not been observed for some individuals during the study period. This requires specialized techniques to handle incomplete data effectively.
The primary goal of survival analysis is to estimate survival time—the time until a...
Propagation of Uncertainty from Random Error00:59

Propagation of Uncertainty from Random Error

An experiment often consists of more than a single step. In this case, measurements at each step give rise to uncertainty. Because the measurements occur in successive steps, the uncertainty in one step necessarily contributes to that in the subsequent step. As we perform statistical analysis on these types of experiments, we must learn to account for the propagation of uncertainty from one step to the next. The propagation of uncertainty depends on the type of arithmetic operation performed on...

You might also read

Related Articles

Articles linked to this work by shared authors, journal, and citation graph.

Sort by
Same author

Explorative pedestrian mobility geolocated data from a citizen science experiment in a neighbourhood.

Scientific data·2025
Same author

Safety, Tolerability and Pharmacokinetics of Sodium Tungstate (OXO-001) in Healthy Female Volunteers of Childbearing Age: A Randomized, Double-Blind, Dose-Finding, and Placebo-Controlled Phase I Study.

International journal of fertility & sterility·2025
Same author

Level-crossing counting for generalized Langevin equations.

Physical review. E·2025
Same author

Effect of stochastic resettings on the counting of level crossings for inertial random processes.

Physical review. E·2024
Same author

Erratum: Counting of level crossings for inertial random processes: Generalization of the Rice formula [Phys. Rev. E 107, 024111 (2023)].

Physical review. E·2023
Same author

Home-to-school pedestrian mobility GPS data from a citizen science experiment in the Barcelona area.

Scientific data·2023
Same journal

Tension on dsDNA bound to ssDNA-RecA filaments may play an important role in driving efficient and accurate homology recognition and strand exchange.

Physical review. E, Statistical, nonlinear, and soft matter physics·2016
Same journal

Publisher's Note: Amplitude-phase coupling drives chimera states in globally coupled laser networks [Phys. Rev. E 91, 040901(R) (2015)].

Physical review. E, Statistical, nonlinear, and soft matter physics·2016
Same journal

Erratum: Shapes of sedimenting soft elastic capsules in a viscous fluid [Phys. Rev. E 92, 033003 (2015)].

Physical review. E, Statistical, nonlinear, and soft matter physics·2016
Same journal

Erratum: Attenuation of excitation decay rate due to collective effect [Phys. Rev. E 90, 022142 (2014)].

Physical review. E, Statistical, nonlinear, and soft matter physics·2016
Same journal

Publisher's Note: Role of connectivity and fluctuations in the nucleation of calcium waves in cardiac cells [Phys. Rev. E 92, 052715 (2015)].

Physical review. E, Statistical, nonlinear, and soft matter physics·2016
Same journal

Publisher's Note: Lattice Boltzmann approach for complex nonequilibrium flows [Phys. Rev. E 92, 043308 (2015)].

Physical review. E, Statistical, nonlinear, and soft matter physics·2016
See all related articles

Related Experiment Video

Updated: Jun 21, 2026

Measuring the Subjective Value of Risky and Ambiguous Options using Experimental Economics and Functional MRI Methods
13:04

Measuring the Subjective Value of Risky and Ambiguous Options using Experimental Economics and Functional MRI Methods

Published on: September 19, 2012

First-passage and risk evaluation under stochastic volatility.

Jaume Masoliver1, Josep Perelló

  • 1Departament de Física Fonamental, Universitat de Barcelona, Diagonal 647, E-08028 Barcelona, Spain. jaume.masoliver@ub.edu

Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics
|August 8, 2009
PubMed
Summary
This summary is machine-generated.

This study solves the first-passage problem for the Heston model, finding analytical solutions for probabilities and revealing extreme deviations indicating high default risk with increased volatility fluctuations.

More Related Videos

An R-Based Landscape Validation of a Competing Risk Model
05:37

An R-Based Landscape Validation of a Competing Risk Model

Published on: September 16, 2022

Related Experiment Videos

Last Updated: Jun 21, 2026

Measuring the Subjective Value of Risky and Ambiguous Options using Experimental Economics and Functional MRI Methods
13:04

Measuring the Subjective Value of Risky and Ambiguous Options using Experimental Economics and Functional MRI Methods

Published on: September 19, 2012

An R-Based Landscape Validation of a Competing Risk Model
05:37

An R-Based Landscape Validation of a Competing Risk Model

Published on: September 16, 2022

Area of Science:

  • Quantitative Finance
  • Stochastic Processes
  • Financial Modeling

Background:

  • The Heston model is a widely used stochastic volatility model in financial mathematics.
  • Understanding first-passage times is crucial for pricing options and risk management.
  • Previous research has explored aspects of the Heston model, but first-passage problems remain complex.

Purpose of the Study:

  • To derive exact analytical solutions for first-passage probabilities in the Heston model.
  • To investigate the asymptotic behaviors and properties of these probabilities.
  • To assess the model's empirical performance and its implications for risk control.

Main Methods:

  • Analytical derivation of first-passage probabilities (survival and hitting).
  • Asymptotic analysis to understand long-term behaviors.
  • Empirical validation using daily financial data.

Main Results:

  • Exact analytical expressions for survival and hitting probabilities obtained.
  • Demonstrated nonexistence of a mean-first-passage time.
  • Identified extreme deviations linked to increased volatility fluctuations, suggesting high default risk.
  • Empirical data confirms the model's ability to capture hitting probabilities.

Conclusions:

  • The derived analytical solutions offer a deeper understanding of the Heston model's first-passage properties.
  • The findings highlight the significant impact of volatility fluctuations on default risk.
  • The model's empirical success suggests its utility for practical risk management in financial markets.