Results 191 to 200 of about 190,252 (236)
Sectoral sensitivity of the Kuwait stock market to a dual shock. [PDF]
PLoS OneAlotaibi T, Morales L.
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Forward interest rates and volatility of zero coupon yield in affine models
, 2004 Gennady Medvedev
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Navigating a varying reward environment in childhood and adolescence. [PDF]
Sci RepNeil L +8 more
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The gut microbiota and sleep in infants: a focus on diurnal rhythmicity patterns
Kerff F +7 more
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FORWARD AND FUTURE IMPLIED VOLATILITY
International Journal of Theoretical and Applied Finance, 2011We address the problem of defining and calculating forward volatility implied by option prices when the underlying asset is driven by a stochastic volatility process. We examine alternative notions of forward implied volatility and the information required to extract these measures from the prices of European options at fixed maturities.
PAUL GLASSERMAN, QI WU
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From Spot Volatility to Forward Volatility
SSRN Electronic Journal, 2012The purpose of this note is to design a very simple algorithm to link the spot and the forward volatility representations. The impact of dividend volatility is stripped out from the forward volatility thanks to an analytic appraoch.
Adil Reghai, Gilles Boya
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Common Forward Rate Volatility
SIAM Journal on Financial Mathematics, 2010Statistical analyses of forward interest rate behavior provide evidence that these rates share a common volatility. We develop a risk-neutral term structure model based on this assumption. The main feature of this model is that each discounted bond price is both an explicit local martingale and a diffusion.
Victor Goodman, Kyounghee Kim
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