Results 1 to 10 of about 205,000 (122)
Quantum Field Theory of Forward Rates with Stochastic Volatility [PDF]
, 2001 In a recent formulation of a quantum field theory of forward rates, the volatility of the forward rates was taken to be deterministic. The field theory of the forward rates is generalized to the case of stochastic volatility. Two cases are analyzed, firstly when volatility is taken to be a function of the forward rates, and secondly when volatility is ...
A. M. Polyakov +11 more
arxiv +3 more sources
The Heston stochastic volatility model in Hilbert space [PDF]
arXiv, 2017 We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein-Uhlenbeck process with itself. The volatility process is then defined by a Cholesky decomposition of the variance process.
Benth, Fred Espen +1 more
arxiv +3 more sources
Stock Price Dynamics and Option Valuations under Volatility Feedback Effect [PDF]
, 2012 According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in ...
Kanniainen, Juho, Piché, Robert
arxiv +5 more sources
An Hilbert space approach for a class of arbitrage free implied volatilities models [PDF]
arXiv, 2007 We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$, to be arbitrage free. The arbitrage free conditions give a system of stochastic PDEs for the evolution
Brace, A., Fabbri, G., Goldys, B.
arxiv +4 more sources
The Effect of Electricity Forward Contracts Trading in the Energy Exchange on the Volatility of Spot Prices in Iran Electricity Market [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2015 Iran Energy Exchange started to work on 03/09/2013. Electricity trading is carried out within the framework of forward contracts in this exchange.
Mehran Kianvand, Asadollah Farzinvash
doaj +1 more source
Analysing Quantiles in Models of Forward Term Rates
Risks, 2023 The class of forward-LIBOR market models can, under certain volatility structures, produce unrealistically high long-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments.
Thomas A. McWalter +2 more
doaj +1 more source
Jurnal Ilmiah Akuntansi dan Bisnis, 2020 This study aims to investigate the role of forward contract hedging in maintaining volatility cash flow and growth opportunity and its impact on investor reaction.
Hartono Hartono +2 more
doaj +1 more source
The relationship between corporate forward-looking disclosure and stock return volatility [PDF]
Problems and Perspectives in Management, 2018 The study assesses corporate forward-looking disclosure by measuring four attributes, namely disclosure quantity, disclosure coverage, disclosure concentration and disclosure quality, through a sample of 34 listed firms in the Bahrain Bourse from 2014 to
Gehan A. Mousa, Elsayed A. H. Elamir
doaj +1 more source
Journal of Agricultural and Resource Economics, 2006 Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals.
Thorsten M. Egelkraut, Philip Garcia
doaj +1 more source
Electronic Research Archive, 2022 In this paper, we propose an adaptive neural network surrogate method to solve the implied volatility of American put options, respectively. For the forward problem, we give the linear complementarity problem of the American put option, which can be ...
Yiyuan Qian +3 more
doaj +1 more source