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Behaviorally informed deep reinforcement learning for portfolio optimization with loss aversion and overconfidence. [PDF]
Sci RepCharkhestani A, Esfahanipour A.
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The rhythm of aging: Stability and drift in the individual rate of senescence. [PDF]
Proc Natl Acad Sci U S APatricio SC.
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Stock Returns and Implied Volatility: A New VAR Approach
Economics: Journal Articles, 2012 Bong Soo Lee, Doojin Ryu
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Does Implied Volatility Imply Volatility—in Bonds?
The Journal of Fixed Income, 2001The authors investigate the relationship between the implied volatility derived from option contracts on U.S. Treasury bond futures and the actual volatility observed in these securities. Research has suggested that implied volatility in stock options correctly forecasts realized volatility in stock prices; the authors find the same is true in bonds ...
Eric Bertonazzi, M.T. Maloney
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SSRN Electronic Journal, 2015
The pricing of corporate credit can be succinctly understood via the credit-implied volatility (CIV) surface. We invert it each month from the firm-by-maturity panel of CDS spreads via the Merton model, transforming CDS spreads into units of asset volatility. The CIV surface facilitates direct comparison of credit spreads at different "moneyness" (firm
Bryan Kelly +2 more
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The pricing of corporate credit can be succinctly understood via the credit-implied volatility (CIV) surface. We invert it each month from the firm-by-maturity panel of CDS spreads via the Merton model, transforming CDS spreads into units of asset volatility. The CIV surface facilitates direct comparison of credit spreads at different "moneyness" (firm
Bryan Kelly +2 more
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AN EXPLICIT IMPLIED VOLATILITY FORMULA
International Journal of Theoretical and Applied Finance, 2017We show that an explicit approximate implied volatility formula can be obtained from a Black–Scholes formula approximation that is 2% accurate. The relative error of the approximate implied volatility is uniformly bounded for options with any moneyness and with arbitrary large or small option maturities and volatilities, including for long dated ...
Stefanica, Dan, Radoičić, Radoš
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Management Science
We propose a methodology for estimating option-implied, forward-looking variances and covariances of assets and portfolios, which may not possess actively traded options. Our approach relies on the observation that, if asset returns follow a factor structure, then the variances and covariances of the factors span the systematic variances and ...
Ohad Kadan, Fang Liu, Xiaoxiao Tang
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We propose a methodology for estimating option-implied, forward-looking variances and covariances of assets and portfolios, which may not possess actively traded options. Our approach relies on the observation that, if asset returns follow a factor structure, then the variances and covariances of the factors span the systematic variances and ...
Ohad Kadan, Fang Liu, Xiaoxiao Tang
openaire +1 more source