Results 31 to 40 of about 14,774,356 (95)

European option pricing under a MSBfBM-Vasicek model: Empirical analysis from the SSE 300ETF and 50ETF of China

International Review of Economics & Finance
As a core instrument in China’s financial derivatives market, the scientific pricing of SSE 50ETF options is crucial for market stability and investment decision-making.
Yanni Zhang, Guitian He, Yinyan Gan, Juncong Lai   +3 more
doaj   +1 more source

The Evolution of Interest‐Rate Models: From the Yield Curve to the Swaption Cube

Journal of Economic Surveys, EarlyView.
ABSTRACT Interest‐rate modelling is often taught as a catalogue of competing stochastic equations, obscuring why models were created and why modern sell‐side desks use several simultaneously. This survey reorganises the field around five layers of a pricing architecture: curve construction; arbitrage‐free dynamics; volatility‐smile representation ...
Xuan Feng, Salman Huseynov, Diomides Mavroyiannis   +2 more
wiley   +1 more source

Functional Vašiček Model

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka, Neda Mohammadi, Leonardo Santoro, Hong Miao, Haonan Wang   +4 more
wiley   +1 more source

Shape of Yield Curves Under Instrument‐Based Parallel Shifts

Journal of Futures Markets, Volume 46, Issue 11, Page 1824-1837, November 2026.
ABSTRACT This paper studies the shape of zero and par yield curves through the carry and convexity of zero‐bond and par–swap butterflies under instrument‐based parallel shifts: the component instruments are held fixed, and each instrument's own quote receives the same additive shock.
Jian Sun
wiley   +1 more source

Bull Spread Option pricing using a mixed modified fractional process with stochastic volatility and interest rates

, 2021
International audienceWe price options so as to take into account the existence of memory (short or long) characterizing the stochastic processes that generate prices, volatility and interest rates.
Sadefo-Kamdem, Jules, Djeutcha, Eric
core   +1 more source

Global Proteomic Analysis of Sperm and Seminal Plasma From Tropically‐Adapted Rams With Contrasting Parameters of Frozen‐Thawed Semen

Molecular Reproduction and Development, Volume 93, Issue 10, October 2026.
ABSTRACT The aim of this study was to characterize the proteome of sperm and seminal plasma (SP) from rams with high semen freezability (HF) and low semen freezability (LF). Eleven ejaculates were collected from 12 rams, at 3‐day intervals, and cryopreserved (132 semen samples).
Wallisson Bruno de Morais Pacheco, Iran Aguila Maciel, Suane Santos Alves dos Santos, Alan Martins de Araújo, Francisca Nágila Matos Almeida, Denise Damasceno Guerreiro, Sheheryar Sheheryar, Lais Lacerda Brasil de Oliveira, Felipe Domingos de Sousa, Mohibullah Shah, Maria Elisabete Amaral Moraes, Carlos Roberto Koscky Paier, Ana Cristina de Oliveira Monteiro, Carminda Sandra Brito Salmito‐Vanderley, Arlindo A. Moura   +14 more
wiley   +1 more source

Twin Defaults and Bank Capital Requirements

The Journal of Finance, Volume 81, Issue 5, Page 2887-2932, October 2026.
ABSTRACT We examine optimal capital requirements in a quantitative general equilibrium model with banks exposed to nondiversifiable borrower default risk. Contrary to standard models of bank default risk, our framework captures the limited upside, but significant downside risk of loan portfolio returns.
CATERINA MENDICINO, KALIN NIKOLOV, JUAN RUBIO‐RAMIREZ, JAVIER SUAREZ, DOMINIK SUPERA   +4 more
wiley   +1 more source

Beta Estimation Under Infrequent Trading: A Machine Learning Approach

International Review of Finance, Volume 26, Issue 3, September 2026.
ABSTRACT When shares are traded infrequently, beta estimates are often severely biased. We find that machine learning methods significantly improve forecasts of the conventional beta proxy in this infrequently traded market. They generate superior beta forecasts, statistically and economically outperforming the traditional model used by practitioners ...
Alejandro Maldonado Mendoza, Olena Onishchenko   +1 more
wiley   +1 more source

Consumption in Asset Returns

The Journal of Finance, Volume 81, Issue 4, Page 2271-2330, August 2026.
ABSTRACT Using information in returns, we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets. This persistent component accounts for over a quarter of consumption variation. These shocks command a large and significant risk premium, driving a large
SVETLANA BRYZGALOVA, JIANTAO HUANG, CHRISTIAN JULLIARD   +2 more
wiley   +1 more source

Evaluation of Oxidative Profiling in Semen Fractions and Its Relationship With Sperm Function in Kangal Akkaraman Rams

Reproduction in Domestic Animals, Volume 61, Issue 8, August 2026.
ABSTRACT The determination of sperm oxidative stress provides significant information related to semen quality. Most studies investigate oxidative stress markers only at the level of seminal plasma, but this approach may provide an incomplete overview of the oxidative status of semen.
Abdulkadir Kaya, Omer Varisli, Ali Senol, Haceli Ocal, Hamide Taskin, Bora Ozarslan   +5 more
wiley   +1 more source