Results 71 to 80 of about 13,841,708 (205)

Inconsistency of the Capital Asset Pricing Model in a Multi‐Currency Environment

International Journal of Finance &Economics, Volume 31, Issue 3, Page 3782-3789, July 2026.
ABSTRACT The capital asset pricing model (CAPM) is a widely adopted model in asset pricing theory and portfolio construction because of its intuitive nature. One of its main conclusions is that there exists a global market portfolio that each rational investor should hold in proportion to the risk‐free asset. In this paper, we demonstrate theoretically
Khalifa Al‐Thani, Domenico Mignacca, Gianluca Fusai, Fabio Caccioli, Guido Germano   +4 more
wiley   +1 more source

The Rough Heston model [PDF]

, 2020
LAUREA MAGISTRALEÉ chiaro dai dati dei mercati ad alta frequenza che il logaritmo della volatilità si comporta essenzialmente come un moto Browniano frazionario. Perciò, per riprodurre il comportamento della volatilità storica e implicita, sono stati
MOLINARI, SIMONE
core  

Rough Heston model with variable Hurst exponent and option pricing

International Review of Economics & Finance
This paper studies a rough Heston model with a variable Hurst exponent. A piecewise rough Heston model is constructed via a piecewise Hawkes process and analyzed within this framework.
Zhengguang Shi, Haofei Wu
doaj   +1 more source

Wild large herbivores promote plant diversity and functional redundancy by reducing dominance

Functional Ecology, Volume 40, Issue 7, Page 2286-2300, July 2026.
Read the free Plain Language Summary for this article on the Journal blog. Abstract Large herbivores can strongly shape plant communities, yet studies report contrasting effects on species richness, and how they affect plant functional diversity remains largely unknown.
Jonas Trepel, Elizabeth le Roux, Camille Magneville, Anika Oosthuizen, Debbie du Preez, Savannah Reichert, Jens‐Christian Svenning, Robert Buitenwerf   +7 more
wiley   +1 more source

Examining the Impact of ESG News Sentiment on Corporate Performance: A Comprehensive Analysis by News Topic and Industry

Business Ethics, the Environment &Responsibility, Volume 35, Issue 3, Page 1624-1647, July 2026.
ABSTRACT This study examines the relationship between ESG news sentiment and corporate performance through the lens of stakeholder theory. While ESG ratings face significant limitations, including measurement inconsistencies and time lags, news sentiment analysis offers insights into internal and external stakeholder responses to ESG activities.
Jeong‐Ji Han, Soyoung Jun, Jong Woo Kim   +2 more
wiley   +1 more source

A Closed-Form Pricing Formula for Log-Return Variance Swaps under Stochastic Volatility and Stochastic Interest Rate

Mathematics, 2021
At present, the study concerning pricing variance swaps under CIR the (Cox–Ingersoll–Ross)–Heston hybrid model has achieved many results; however, due to the instantaneous interest rate and instantaneous volatility in the model following the Feller ...
Chen Mao, Guanqi Liu, Yuwen Wang
doaj   +1 more source

Unbiased estimators for the Heston model with stochastic interest rates [PDF]

, 2023
We combine the unbiased estimators in Rhee and Glynn (Operations Research: 63(5), 1026-1043, 2015) and the Heston model with stochastic interest rates.
Zheng, Chao, Pan, Jiangtao
core   +1 more source

A Robust Spectral Method for Solving Heston’s Model [PDF]

Journal of Optimization Theory and Applications, 2013
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ngounda, E., Patidar, Kailash C., Pindza, E.   +2 more
openaire   +2 more sources

Quadratic Hedging of American Options Under GARCH Models

Journal of Futures Markets, Volume 46, Issue 6, Page 1079-1097, June 2026.
ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
wiley   +1 more source

Improving Implied Volatility Forecasts for American Options Using Neural Networks

Journal of Futures Markets, Volume 46, Issue 6, Page 1137-1153, June 2026.
ABSTRACT This paper explores the application of neural networks to improve pricing of American options. Focusing on both American and European options on the S&P 100 index from January 2016 to August 2023, we integrate neural networks to model the difference between market‐implied and model‐implied volatilities derived from the Black‐Scholes and Heston
Haitong Jiang, Emese Lazar, Miriam Marra
wiley   +1 more source