Results 71 to 80 of about 5,889 (311)
Model uncertainty and its impact on the pricing of derivative instruments [PDF]
Model uncertainty, in the context of derivative pricing, can be defined as the uncertainty on the value of a contingent claim resulting from the lack of precise knowledge of the pricing model to be used for its valuation. We introduce here a quantitative
Rama Cont
core
Lead Halide Perovskite Photoelectrocatalysis
Advanced Materials, EarlyView.Lead halide perovskite semiconductors have emerged as highly promising materials for solar fuel and chemical synthesis. This perspective discusses advances made in the rational photoelectrode design to improve solar‐to‐chemical conversion, product scope, and scalability.
Virgil Andrei
wiley +1 more source
Valuation of Credit-Linked Notes Under Government Implicit Guarantees
MathematicsCredit-linked notes (CLNs) are vital for transferring and diversifying credit risks in asset securitization, yet their application in China remains limited despite policy support.
Xinghui Wang, Xiaosong Qian
doaj +1 more source
Advanced Materials, EarlyView.Ultrathin lithium metal anodes (≤15 µm) offer a promising route to high‐energy‐density batteries due to their high capacity and low potential. This review presents design principles for ultrathin Li, evaluates fabrication strategies, and discusses challenges in liquid and solid‐state cells.
Cheng Wang +9 more
wiley +1 more source
Modeling and Forecasting Average Temperature for Weather Derivative Pricing
Advances in Meteorology, 2015 The main purpose of this paper is to present a feasible model for the daily average temperature on the area of Zhengzhou and apply it to weather derivatives pricing.
Zhiliang Wang +4 more
doaj +1 more source
Two New Strategies for Pricing Freight Options by Means of a Valuation PDE and by Functional Bounds
Mathematics, 2020 Freight derivative prices have been modeled assuming that the spot freight follows a particular stochastic process in order to manage them, like freight futures, forwards and options. However, an explicit formula for pricing freight options is not known,
Lourdes Gómez-Valle +2 more
doaj +1 more source
Calibration of interest rate term structure and derivative pricing models [PDF]
We argue interest rate derivative pricing models are misspecified so that when they are fitted to historical data they do not produce prices consistently with the market.
Pang, Kin
core
Weather Derivatives Pricing: Modeling the Seasonal Residual Variance of an Ornstein-Uhlenbeck Temperature Process with Neural Network [PDF]
, 2009 In this paper, we use neural networks in order to model the seasonal component of the residual variance of a mean-reverting Ornstein–Uhlenbeck temperature process, with seasonality in the level and volatility. This approach can be easily used for pricing
Zapranis, Achilleas +1 more
core +1 more source
Advanced Materials, EarlyView.A titania‐supported Co1/Ru single‐atom alloy catalyst enables efficient polypropylene hydrogenolysis. Ru─Co─Ru motifs maintain Ru activity while suppressing excessive chain scission to gaseous products. Both virgin and waste plastics achieve high, environmentally and economically optimal C11+ liquid yields, supporting sustainable chemical recycling ...
Yuzhen Ge +6 more
wiley +1 more source
Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model
RisksWe present a unified, market-complete model that integrates both Bachelier and Black–Scholes–Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the ...
W. Brent Lindquist +3 more
doaj +1 more source