Results 81 to 90 of about 2,210,161 (360)

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
doaj   +1 more source

A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets

Finance and Stochastics
We propose an extension of the model introduced by Barndorff-Nielsen and Shephard, based on stochastic processes of Ornstein–Uhlenbeck type taking values in Hilbert spaces and including the leverage effect.
F. Benth, C. Sgarra
semanticscholar   +1 more source

Complex Cryptographic and User‐Centric Physically Unclonable Functions Enabled by Strain‐Sensitive Nanocrystals via Selective Ligand Exchange

Advanced Functional Materials, EarlyView.
This study investigates electromechanical PUFs that improve on traditional electric PUFs. The electron transport materials are coated randomly through selective ligand exchange. It produces multiple keys and a key with motion dependent on percolation and strain, and approaches almost ideal inter‐ and intra‐hamming distances.
Seungshin Lim, Hanseok Seo, Taesung Park, Byung Ku Jung, Junhyeok Park, Young Kyun Choi, Dae Yang Oh, Soong Ju Oh   +7 more
wiley   +1 more source

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
openaire   +1 more source

Siloxane‐Functionalized Silicon Phthalocyanine OTFTs: High Hole Mobility and Unexpected p‐Type Character

Advanced Functional Materials, EarlyView.
In this paper, the first use of a siloxane‐substituted silicon phthalocyanine (iso(Si3O)2SiPc) in OTFTs is reported. Moreover, this compound displays the highest hole mobility (exceeding 1 cm2 V−1 s−1) ever recorded for SiPc, and the GIWAXS study reveals thin films with an exceptionally uniform crystalline texture.
Nicolas Ledos, Halynne R. Lamontagne, Joseph Manion, Frédéric Castet, Benoît H. Lessard, Jaclyn L. Brusso   +5 more
wiley   +1 more source

The effect of parallel OTC-DVP bond market introduction on yield curve volatility [PDF]

Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2006
The goal of this paper is to analyze the effect of OTC-DVP (over the counter delivery versus payment) fixed income market introduction in Slovenia on the term structure estimation and on the volatility of zero coupon yields and forward interest rates ...
Andraž Grum
doaj  

Forward Freight Agreements and Market Transparency in the Capesize Sector

Asian Journal of Shipping and Logistics, 2019
We investigate the connection between the trading of Forward Freight Agreements (FFAs) and its microstructure effects in the volatility of the spot freight market in the Capesize dry-bulk sector of oceangoing vessels.
Theodore Pelagidis, George Panagiotopoulos   +1 more
doaj   +1 more source

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, Gwendoline A. E. Anand, Rubaiyet Haque, Dylan A. Chiaro, Mona Sharma, Andrew R. Williams, Frank Niklaus, Daryl W. Yee, Gavin M. King, Anpan Han   +9 more
wiley   +1 more source

Exploiting Two‐Photon Lithography, Deposition, and Processing to Realize Complex 3D Magnetic Nanostructures

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, Arjen van den Berg, Sandra Ruiz Gomez, Claire Donnelly, Dirk Grundler, Sam Ladak   +5 more
wiley   +1 more source

Linking Futures and Options Pricing in the Natural Gas Market

Risks
A robust model for natural gas prices should simultaneously capture the observed prices of both futures and options. While incorporating a seasonal factor in the convenience yield of the spot price effectively replicates forward curves, it proves ...
Francesco Rotondi
doaj   +1 more source