Results 61 to 70 of about 9,634 (299)
Estudios de Administración, 2003 In this paper i analyze the problem faced by an investor expecting to receive a cash flow in a foreign currency. The investor is assumed to be exposed to long-term exchange rate risk, having no access to long-term forward contracts to hedge perfectly ...
Augusto Castillo R.
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Ice Lithography: Recent Progress Opens a New Frontier of Opportunities
Advanced Functional Materials, EarlyView.This review focuses on recent advancements in ice lithography, including breakthroughs in compatible precursors and substrates, processes and applications, hardware, and digital methods. Moreover, it offers a roadmap to uncover innovation opportunities for ice lithography in fields such as biological, nanoengineering and microsystems, biophysics and ...
Bingdong Chang +9 more
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AIMS MathematicsThe CIR stochastic volatility model is modified to introduce nonlinear mean reversion, with the long-run volatility average as a random variable controlled by two parts being modeled through a Brownian motion and a Markov chain, respectively.
Xin-Jiang He, Sha Lin
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A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models
Risks, 2020 We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface.
Christa Cuchiero +2 more
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Advanced Functional Materials, EarlyView.Two‐photon lithography (TPL) enables 3D magnetic nanostructures with unmatched freedom in geometry and material choice. Advances in voxel control, deposition, and functionalization open pathways to artificial spin ices, racetracks, microrobots, and a number of additional technological applications.
Joseph Askey +5 more
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Interactions of Spot Foreign Exchange Markets among Taiwan, Hong Kong and Japan: Japanese Forward Premium/Discount as an Information Variable [PDF]
Management and Economics ReviewThis study takes the foreign exchange rates of Taiwan, Hong Kong and Japan as the research issue, and utilises the VEC GJR-Asymmetric GARCH model to analyse the interaction among spot exchange rates of these three countries.
Hsiang-Hsi LIU
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Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model [PDF]
The Journal of Fixed Income, 2000 This article presents a number of new ideas concerned with implementation of the LIBOR market model and its extensions. It develops and tests an analytic approximation for calculating the volatilities the market uses to price European swap options from the volatilities used to price interest rate caps.
John C Hull, Alan D White
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Two‐Dimensional Materials as a Multiproperty Sensing Platform
Advanced Functional Materials, EarlyView.Various sensing modalities enabled and/or enhanced by two‐dimensional (2D) materials are reviewed. The domains considered for sensing include: 1) optoelectronics, 2) quantum defects, 3) scanning probe microscopy, 4) nanomechanics, and 5) bio‐ and chemosensing.
Dipankar Jana +11 more
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Variance and Interest Rate Risk in Unit-Linked Insurance Policies
Risks, 2020 One of the risks derived from selling long-term policies that any insurance company has arises from interest rates. In this paper, we consider a general class of stochastic volatility models written in forward variance form.
David Baños +2 more
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Implied volatility estimation of bitcoin options and the stylized facts of option pricing
Financial Innovation, 2021 The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives exchanges mark the beginning of a new era in Bitcoin price risk hedging.
Noshaba Zulfiqar, Saqib Gulzar
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