Results 121 to 130 of about 119,543 (344)
B-spline techniques for volatility modeling [PDF]
, 2015 This paper is devoted to the application of B-splines to volatility modeling, specifically the calibration of the leverage function in stochastic local volatility models and the parameterization of an arbitrage-free implied volatility surface calibrated ...
Corlay, Sylvain
core
Advanced Materials, EarlyView.An overview of design principles and scalable fabrication strategies for multifunctional bio‐based packaging. Radiative cooling films, modified‐atmosphere films/membranes, active antimicrobial/antioxidant platforms, intelligent optical/electrochemical labels, and superhydrophobic surfaces are co‐engineered from material chemistry to mesoscale structure
Lei Zhang +6 more
wiley +1 more source
Advanced Materials, EarlyView.We address the inherently weak particle adhesion of conventional air filters by coating a dynamically crosslinked adhesive layer that delivers capillarity‐driven strong adhesion and particle absorption mediated by dynamic bond exchange. The resulting enhancement in particle adhesion enables efficient ultrafast (up to 20 m s−1) and omnidirectional ...
Junyong Park +11 more
wiley +1 more source
A dynamic copula approach to recovering the index implied volatility skew [PDF]
Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at the single stock level. We study this stylized fact for the case of a major German stock index, the DAX, by recovering index implied ...
Christian Werner +2 more
core
Advanced Materials, EarlyView.This review traces the evolution of lithium‐ion battery separators from passive barriers to multifunctional components central to cell safety and performance. Polymer‐ceramic hybrids, nanofiber architectures, and bio‐derived membranes deliver ionic conductivities above 3 mS cm−1, thermal stability beyond 200 °C, and effective suppression of lithium ...
Karthik Vishweswariah +5 more
wiley +1 more source
MathematicsThis paper examines tail risk spillovers and cross-market volatility forecasting between the U.S. equity market and the crude oil market. Using realized and implied volatility within a heterogeneous autoregressive (HAR) framework, we document asymmetric ...
Shaocong Peng, Yun Shi
doaj +1 more source
Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures? [PDF]
This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which recent developments related to the impact on measured volatility of market microstructure noise are taken into account.
Andrew Reidy +2 more
core
Composition Restoration Enables Recycling of Mixed‐Cation, Mixed‐Halide Perovskites for Solar Cells
Advanced Materials, EarlyView.Compositional drift during processing prevents the direct recycling of mixed‐cation, mixed‐halide perovskites. This work introduces a framework to quantitatively audit and restore recovered materials, enabling closed‐loop recycling with efficiencies comparable to virgin perovskites.
Zhenni Wu +12 more
wiley +1 more source
Accuracy of Implied Volatility Approximations Using "Nearest-to-the-Money" Option Premiums [PDF]
Implied volatility is a useful bit of information for futures and options hedgers and speculators. However, extraction of implied volatility from Black-Scholes (BS) option pricing model requires a numeric search.
Bridges, William +3 more
core +1 more source
Additive Manufacture of Diamond:Titanium Hybrid Quantum Sensors
Advanced Materials Interfaces, EarlyView.ABSTRACT Additive manufacture represents one of the most advanced techniques for the creation of complex parts for applications as diverse as aerospace and implant surgery. However, a challenge with bespoke manufacture of metal parts is the incorporation of sensor elements in a fashion compatible with the 3D printing process.
Daniel Stavrevski +12 more
wiley +1 more source