Results 71 to 80 of about 197,322 (297)
Semi-Analytical Option Pricing Under Double Heston Jump-Diffusion Hybrid Model
Journal of Mathematical Sciences and Modelling, 2018 We examine European call options in the jump-diffusion version of the Double Heston stochastic volatility model for the underlying price process to provide a more flexible model for the term structure of volatility.
Rehez Ahlip +2 more
doaj +1 more source
Filtering and identification of stochastic volatility for parabolic type factor models [PDF]
, 2006 We consider the dynamics of forward rate process which is modeled by a parabolic type infinite-dimensional factor model with stochastic volatility. The parameters included in the stochastic volatility dynamics are estimated from the factor process as the
Aihara, ShinIchi, Bagchi, Arunabha
core +1 more source
Exchange Volatility and Forward Market Mechanism
Foreign Trade Review, 1986 Legacy description not ...
openaire +1 more source
Advanced Functional Materials, EarlyView.Optoelectronic control of redox‐active polyoxometalate clusters in polymer matrices yields hybrid memristors with switchable volatile and non‐volatile modes, enabling reservoir‐type in‐sensor optical preprocessing and stable multilevel synapses for multimodal neuromorphic computing, including noise‐tolerant audiovisual keyword recognition and hardware ...
Xiangyu Ma +13 more
wiley +1 more source
OIL VOLATILITY-OF-VOLATILITY AND TAIL RISK OF COMMODITIES
Applied Finance LettersWe examine the information content of oil volatility-of-volatility (VOV), constructed from the past 1-month OVX (implied volatility in crude oil market), on the expected tail risk of commodities.
Yahua Xu +2 more
doaj +1 more source
Efficient Option Pricing in Crisis Based on Dynamic Elasticity of Variance Model
Discrete Dynamics in Nature and Society, 2016 Market crashes often appear in daily trading activities and such instantaneous occurring events would affect the stock prices greatly. In an unstable market, the volatility of financial assets changes sharply, which leads to the fact that classical ...
Congyin Fan, Kaili Xiang, Peimin Chen
doaj +1 more source
Journal of Business Economics and Management, 2020 Economic policy drives investment, production, employment, and other macroeconomic indicators of the economy. The study examines the equity, commodity, interest rates, and currency markets, taking into consideration the US economic policy uncertainty ...
Imlak Shaikh
doaj +1 more source
Atomic Layer Deposition in Transistors and Monolithic 3D Integration
Advanced Functional Materials, EarlyView.Transistors are fundamental building blocks of modern electronics. This review summarizes recent progress in atomic layer deposition (ALD) for the synthesis of two‐dimensional (2D) metal oxides and transition‐metal dichalcogenides (TMDCs), with particular emphasis on their enabling role in monolithic three‐dimensional (M3D) integration for next ...
Yue Liu +5 more
wiley +1 more source
The impact of forward trading on the spot power price volatility with Cournot competition [PDF]
In this paper, we analyze the influence of forward trading on the volatility of spot power prices, in models where forward contracts are strategic tools used by energy producers to obtain profit security.
Agnieszka Wylomanska, Sandro Sapio
core
The Heston stochastic volatility model in Hilbert space
, 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
Benth, Fred Espen +1 more
core +1 more source