Results 161 to 170 of about 116,461 (347)
Forecasting Exchange Rate Volatility in the Presence of Jumps [PDF]
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump ...
Bent Jesper Christensen +2 more
core
Advanced Functional Materials, EarlyView.Two novel donor–π–acceptor photoinitiators enable ultrafast long‐wavelength photopolymerization under blue/green LEDs and sunlight. Effective at low intensities and concentrations, they overcome slow kinetics and permit rapid 3D printing via DLW, DLP, and LCD methods.
Ji Feng +9 more
wiley +1 more source
Asymptotic Implied Volatility at the Second Order with Application to the SABR Model [PDF]
, 2009 Louis Paulot
openalex +1 more source
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
Advanced Functional Materials, EarlyView.A structurally integrated multiscale hierarchical metamaterial composite (MHMC), inspired by the synergistic architecture of reinforced concrete, achieves simultaneous enhancement of thermal, electromagnetic, and mechanical functionalities. By combining a carbon black‐based mechanical metamaterial with a porosity‐graded cellulose acetate aerogel, this ...
Jeongwoo Lee +9 more
wiley +1 more source
Implied Volatility with Time-Varying Regime Probabilities [PDF]
This paper presents a mixture multiplicative error model with a time-varying probability between regimes. We model the implied volatility derived from call and put options on the USD/EUR exchange rate.
Ahoniemi, Katja, Lanne, Markku
core +1 more source
Advances in Stimuli‐Responsive Organic Materials and Polymers toward Intelligent CO2 Capture
Advanced Functional Materials, EarlyView.Schematic illustration of the relationship between different stimuli and stimuli‐responsive organic materials and polymers for carbon dioxide (CO2) capture. Main stimuli include redox, pH, magnetism, temperature, light, and pressure. Furthermore, multi‐responsive materials, due to their high adaptability and scalability in complex environments, are ...
Jian Zhou +2 more
wiley +1 more source
Implied Volatility and Risk Aversion in a Simple Model with Uncertain Growth [PDF]
, 2009 Frederik Lundtofte
openalex +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
core +1 more source