Results 91 to 100 of about 116,461 (347)
The skew pattern of implied volatility in the DAX index options market [PDF]
The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to moneyness and option type and to compare the latter option based forecasts with historical volatility in order to see if they subsume ...
Silvia Muzzioli
core
Biomaterial Strategies for Targeted Intracellular Delivery to Phagocytes
Advanced Functional Materials, EarlyView.Phagocytes are essential to a functional immune system, and their behavior defines disease outcomes. Engineered particles offer a strategic opportunity to target phagocytes, harnessing inflammatory modulation in disease. By tuning features like size, shape, and surface, these systems can modulate immune responses and improve targeted treatment for a ...
Kaitlyn E. Woodworth +2 more
wiley +1 more source
Advanced Functional Materials, EarlyView.The nanoscale structural and chemical transformations in SrTiO3 under Swift‐Heavy‐Ion irradiation at grazing incidence are investigated, emphasizing the formation of well‐ordered nanohillocks at the surface of the material, demonstrating significant material decomposition in the created hillocks with: a phase separation of SrO and TiOx, a reduction in ...
Mohammad S. Jamal +12 more
wiley +1 more source
RisksWe study the shape of the Bachelier-implied volatility of a spread option on two assets following correlated local volatility models. This includes the limiting case of spread options on two correlated Black–Scholes (BS) assets.
Dan Pirjol
doaj +1 more source
THE INFORMATION CONTENT OF IMPLIED VOLATILITY FROM OPTIONS ON AGRICULTURAL FUTURES CONTRACTS [PDF]
Agricultural risk managers need forecasts of price volatility that are accurate and meaningful. This is especially true given the greater emphasis on firm level risk measurement and management (e.g., Value-at-Risk and Enterprise Risk Management). Implied
Manfredo, Mark R., Sanders, Dwight R.
core +1 more source
Credit-implied forward volatility and volatility expectations
Finance Research Letters, 2016 AbstractWe show how one can back out implied forward volatility term structures from credit default swap spreads. Such forward stock volatility term structures are useful for instance in forward start option pricing. We find the term structure to be downward-sloping, and the credit market's volatility forecasts tend to vary more across time than across
openaire +3 more sources
Advanced Functional Materials, EarlyView.Persistent secondary phases govern the performance of many thermoelectric materials, particularly of high performance MgAgSb. In this study advanced microstructural characterization for unequivocal phase identification combined with transport modeling and statistical analysis enabled the quantification of each phase's impact, revealing the most ...
Amandine Duparchy +3 more
wiley +1 more source
AIMS MathematicsIn this paper, we proposed a stochastic volatility model in which the volatility was given by stochastic processes representing two characteristic time scales of variation driven by approximate fractional Brownian motions with two Hurst exponents.
Min-Ku Lee, Jeong-Hoon Kim
doaj +1 more source
The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices [PDF]
Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for ...
Bent Jesper Christensen +1 more
core
Advanced Functional Materials, EarlyView.An alginate‐based biochar hydrogel (ABC‐hydrogel), derived from sewage sludge, is developed for simultaneous phosphate removal and agricultural reuse. It captures phosphorus from water and gradually releases it as fertilizer, enhancing lettuce growth.
Yu Zhang +4 more
wiley +1 more source