Results 21 to 30 of about 641,662 (279)
Index option returns and systemic equity risk
Journal of Finance and Data Science, 2018 In an environment characterized by stochastic variances and correlations, we demonstrate through construction of the equilibrium index option value from constituent components, that the generalized PDE identifies the stochastic elements differentially ...
Weiping Li, Tim Krehbiel
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Newborn Weight and Second-Hand Smoking in Utero Exposure: A Case in A Low-Middle Income Country
Jurnal Keperawatan Soedirman, 2023 Smoking exposure among pregnant women is correlated with the risk of low birth weight. The policy factors are believed to contribute to the rate or prevalence of smoking activities.
Dianita Sugiyo +14 more
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Numerical Simulation of the Heston Model under Stochastic Correlation
International Journal of Financial Studies, 2017 Stochastic correlation models have become increasingly important in financial markets. In order to be able to price vanilla options in stochastic volatility and correlation models, in this work, we study the extension of the Heston model by imposing ...
Long Teng +2 more
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Does Expectation of Correlation Breakdown in Financial Market Fulfill Itself?
Discrete Dynamics in Nature and Society, 2015 This paper develops a model appeared in the literature whose focus was the way rational risk averse investors anticipate the correlation breakdowns of asset returns in periods of excess demand.
Paolo Falbo, Rosanna Grassi
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The Reactive Volatility Model [PDF]
, 2013 We present a new volatility model, simple to implement, that includes a leverage effect whose return-volatility correlation function fits to empirical observations.
Aboura, Sofiane +3 more
core +1 more source
VaR-implied tail-correlation matrices [PDF]
Economics Letters, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Irreducible many-body correlations in topologically ordered systems
New Journal of Physics, 2016 Topologically ordered systems exhibit large-scale correlation in their ground states, which may be characterized by quantities such as topological entanglement entropy.
Yang Liu, Bei Zeng, D L Zhou
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Quanto Implied Correlation in a Multi-LLvy Framework [PDF]
SSRN Electronic Journal, 2015 In this paper we apply the multivariate construction for Lévy processes introduced by Ballotta and Bonfiglioli (2014) to propose an integrated model for the joint dynamics of FX exchange rates and asset prices. We show that the proposed construction is consistent in terms of symmetries with respect to inversion and triangulation, and provides an ...
Ballota, Laura +2 more
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A framework for robust measurement of implied correlation [PDF]
Journal of Computational and Applied Mathematics, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Linders, Daniël, Schoutens, Wim
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Pediatric Blood &Cancer, EarlyView.ABSTRACT Neuroblastoma is the most common extracranial solid tumor in early childhood. Its clinical behavior is highly variable, ranging from spontaneous regression to fatal outcome despite intensive treatment. The International Society of Pediatric Oncology Europe Neuroblastoma Group (SIOPEN) Radiology and Nuclear Medicine Specialty Committees ...
Annemieke Littooij +11 more
wiley +1 more source