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Understanding indirect assortative mating and its intergenerational consequences for educational attainment [PDF]
Nature CommunicationsWe develop a framework for understanding indirect assortative mating and provide updated definitions of key terms. We then develop family models that use partners of twins and siblings to freely estimate the degree of genetic and social homogamy, and ...
Hans Fredrik Sunde +2 more
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Valuing bets and hedges: Implications for the construct of risk preference [PDF]
Judgment and Decision Making, 2018 Risk attitudes implied by valuations of risk-increasing assets depart markedly from those implied by valuations of risk-reducing assets. For instance, many are unwilling to pay the expected value for a risky asset or for its perfect hedge.
Shane Frederick +3 more
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Estimating Forward-Looking Stock Correlations from Risk Factors
Mathematics, 2022 This study provides fully mathematically and economically feasible solutions to estimating implied correlation matrices in equity markets. Factor analysis is combined with option data to receive ex ante beliefs for cross-sectional correlations. Necessary
Wolfgang Schadner, Joshua Traut
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A Lower Bound for the Volatility Swap in the Lognormal SABR Model
Axioms, 2023 In the short time to maturity limit, it is proved that for the conditionally lognormal SABR model the zero vanna implied volatility is a lower bound for the volatility swap strike.
Elisa Alòs +2 more
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Analysis of Option Trading Strategies Based on the Relation of Implied and Realized S&P500 Volatilities [PDF]
ACRN Journal of Finance and Risk Perspectives, 2021 In this paper, we examine the performance of certain short option trading strategies on the S&P500 with backtesting based on historical option price data. Some of these strategies show significant outperformance in relation to the S&P500 index.
Alexander Brunhuemer +2 more
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PLoS ONE, 2021 We explore the use of implied volatility indices as a tool for estimate changes in the synchronization of stock markets. Specifically, we assess the implied stock market's volatility indices' predictive power on synchronizing global equity indices ...
Nicolás Magner +3 more
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Relation of Religious Coping and Depression Levels in Infertile Women
Iranian Journal of Psychiatry, 2020 Objective: Religious coping is known as one of the successful manners to cure depressed infertile women; however, research findings show that demographic factors (e.g., education level) have played an important role on the relationship between depression
Naemeh Honarvar, Mahsa Taghavi
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Lietuvos Matematikos Rinkinys, 2007 This article investigatesthe present value of a firm’s asset in the case of n \geq 2 correlateddefaults. The structural approach of credit risk is developed in the case when default boundaries follow geometric Brownian motions.
Mantas Valužis
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Journal of Cultural Analytics, 2021 Compared to the large body of research into gender, race and class in children’s literature, there has been little awareness of the social construction of age in this discourse. Analysing age in contemporary fiction for young readers gives insight in how
Wouter Haverals, Lindsey Geybels
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On the Probabilities of Correlated Defaults: a First Passage Time Approach
Nonlinear Analysis, 2008 This article investigates the joint probability of correlated defaults in the first passage time approach of credit risk subject to condition that the underlying firms’ assets values and the default boundaries follow geometric Brownian motion processes ...
M. Valužis
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