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Effectiveness of Acetazolamide in Patients With Heart Failure: A Systematic Review and Meta-Analysis. [PDF]
CureusEda S +7 more
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Simultaneous detection of gradual and abrupt structural changes in Bayesian longitudinal modelling using entropy and model fit measures. [PDF]
Br J Math Stat PsycholLi Y, Xiong X, Oravecz Z, Chow SM.
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Non-parametric Causal Discovery for EU Allowances Returns Through the Information Imbalance
Salvagnin C +4 more
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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
openaire +1 more source
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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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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Implied Volatility Forecasting Realized Volatility
2021This chapter conducts an empirical analysis of IV to forecast the RV through testing hypothesis 1–9. The analysis includes three steps. First, estimate the IV for ATM price of currency options with 1-, 2-, and 3-month maturity during opening, midday, and closing period.
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SSRN Electronic Journal, 2008
In this note, we present a novel approach to derive asymptotics for Black implied volatilities under the same generic model as proposed in Antonov and Misirpashaev (2009). We perform a time substitution as used by Duru and Kleinert (1979) to calculate the path integral formulation of the H-atom.
Marc Decamps, Ann De Schepper
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In this note, we present a novel approach to derive asymptotics for Black implied volatilities under the same generic model as proposed in Antonov and Misirpashaev (2009). We perform a time substitution as used by Duru and Kleinert (1979) to calculate the path integral formulation of the H-atom.
Marc Decamps, Ann De Schepper
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Quantitative Finance, 2009
This Article does not have an abstract.
Corcuera, J.M. +3 more
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This Article does not have an abstract.
Corcuera, J.M. +3 more
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