Arbitrage-Free Smoothing of the Implied Volatility Surface [PDF]
The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in negative transition ...
Matthias R. Fengler
core
Implied and Realized Volatility: A Study of the Ratio Distribution
, 2018 M. Dashti Moghaddam, R. A. Serota
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Ferroelectric Quantum Dots for Retinomorphic In‐Sensor Computing
Advanced Materials, EarlyView.This work has provided a protocol for fabricating retinomorphic phototransistors by integrating ferroelectric ligands with quantum dots. The resulting device combines ferroelectricity, optical responsiveness, and low‐power operation to enable adaptive signal amplification and high recognition accuracy under low‐light conditions, while supporting ...
Tingyu Long +26 more
wiley +1 more source
Bioinspired Adaptive Sensors: A Review on Current Developments in Theory and Application
Advanced Materials, EarlyView.This review comprehensively summarizes the recent progress in the design and fabrication of sensory‐adaptation‐inspired devices and highlights their valuable applications in electronic skin, wearable electronics, and machine vision. The existing challenges and future directions are addressed in aspects such as device performance optimization ...
Guodong Gong +12 more
wiley +1 more source
THE TERM STRUCTURE OF IMPLIED FORWARD VOLATILITY: RECOVERY AND INFORMATIONAL CONTENT IN THE CORN OPTIONS MARKET [PDF]
Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the
Egelkraut, Thorsten M. +2 more
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Whack-a-mole Online Learning: Physics-Informed Neural Network for Intraday Implied Volatility Surface [PDF]
Kentaro Hoshisashi +2 more
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Néel Tensor Torque in Polycrystalline Antiferromagnets
Advanced Materials, EarlyView.This work introduces a Néel tensor torque based on a rank‐two symmetric tensor capturing spin correlations in a polycrystalline antiferromagnet. It shows the Néel tensor can be shaped and reshaped through the spin‐orbit torque (SOT) technique, enabling field‐free SOT switching with a specific polarity of the adjacent ferromagnet. This discovery opens a
Chao‐Yao Yang +4 more
wiley +1 more source
Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models. [PDF]
Appl Math Finance, 2016 Gerhold S, Gülüm IC, Pinter A.
europepmc +1 more source
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets [PDF]
We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in the information set, including implied volatility backed out from option prices.
Bent Jesper Christensen +2 more
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