Results 41 to 50 of about 112,069 (297)

Maturity cycles in implied volatility [PDF]

Finance and Stochastics, 2004
The purpose of the paper is to study the performance of the observed implied volatility surface \(I\) that is reduced to an affine function of the log-moneyness-to-maturity ratio (LMMR) of the form \[ I = a\times \text{LMMR} + b,\qquad \text{LMMR} = \frac{\log(K/S)}{T-t}, \] where \(K\) is the strike price, \(T\) is the expiration date, and \(S\) is ...
George Papanicolaou, Knut Sølna, Jean-Pierre Fouque, Ronnie Sircar   +3 more
openaire   +2 more sources

Investors’ net buying pressure and implied volatility dynamics

Borsa Istanbul Review, 2022
This study reexamines the influence of different investor types' net options demand on the KOSPI200 options-implied volatility dynamics. We extend Bollen and Whaley (2004) by accounting for options traders' hedging demand for futures contracts, intraday ...
Doojin Ryu, Robert I. Webb, Heejin Yang, Jinyoung Yu   +3 more
doaj   +1 more source

TRPM8 levels determine tumor vulnerability to channel agonists

Molecular Oncology, EarlyView.
TRPM8 is a Ca2+ permissive channel. Regardless of the amount of its transcript, high levels of TRPM8 protein mark different tumors, including prostate, breast, colorectal, and lung carcinomas. Targeting TRPM8 with channel agonists stimulates inward calcium currents followed by emptying of cytosolic Ca2+ stores in cancer cells.
Alessandro Alaimo, Francesco Giuseppe Carbone, Kristi Buzo, Nicole Annesi, Sacha Genovesi, Annalisa Lorenzato, Karen Widmann, Michela Libergoli, Elisa Marmocchi, Giovanni Bertalot, Alberto Brolese, Mauro Giulio Papotti, Luca Molinaro, Orazio Caffo, Mattia Barbareschi, Alberto Bardelli, Alessandro Romanel, Sabrina Arena, Andrea Lunardi   +18 more
wiley   +1 more source

The exact Taylor formula of the implied volatility [PDF]

Finance and Stochastics, 2016
In a model driven by a multi-dimensional local diffusion, we study the behavior of implied volatility and its derivatives with respect to log-strike k and maturity T near expiry and at the money. We recover explicit limits of these derivatives for (T,k) approaching the origin within the parabolic region |x-k|^2 < T, with x denoting the spot ...
Pagliarani, Stefano, PASCUCCI, ANDREA
openaire   +7 more sources

Detecting Dengue in Flight: Leveraging Machine Learning to Analyze Mosquito Flight Patterns for Infection Detection

Advanced Biology, EarlyView.
Dengue infection alters mosquito flight behavior, enabling detection using machine learning classifiers. This study analyzes 3D flight trajectories and evaluates multiple models, showing that longer sequence lengths improve classification performance.
Nouman Javed, Adam J. López‐Denman, Prasad N. Paradkar, Asim Bhatti   +3 more
wiley   +1 more source

Beyond Order: Perspectives on Leveraging Machine Learning for Disordered Materials

Advanced Engineering Materials, EarlyView.
This article explores how machine learning (ML) revolutionizes the study and design of disordered materials by uncovering hidden patterns, predicting properties, and optimizing multiscale structures. It highlights key advancements, including generative models, graph neural networks, and hybrid ML‐physics methods, addressing challenges like data ...
Hamidreza Yazdani Sarvestani, Surabhi Nadigotti, Erfan Fatehi, Derek Aranguren van Egmond, Behnam Ashrafi   +4 more
wiley   +1 more source

Dynamic co-movements of stock market returns, implied volatility and policy uncertainty [PDF]

, 2013
We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions.
Antonakakis, N., Chatziantoniou, I., Filis, George   +2 more
core   +1 more source

Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices

Stats, 2023
In this paper, we conducted an empirical investigation of the realized volatility of cryptocurrencies using an econometric approach. This work’s two main characteristics are: (i) the realized volatility to be forecast filters jumps, and (ii) the benefit ...
Julien Chevallier, Bilel Sanhaji
doaj   +1 more source

Quality Enhancement of Laser Powder‐Bed Fusion Parts by Acoustically Assisted Additive Manufacturing by Laser Powder‐Bed Fusion and its Application to Lattice Structures

Advanced Engineering Materials, EarlyView.
Additive manufacturing technologies like laser powder‐bed fusion offer great design freedom and individualization of products down to a batch size of one. However, parts fabricated with this technology suffer from poor quality. Acoustic assistance during the build process can minimize these drawbacks.
Oliver Maurer, Dirk Bähre
wiley   +1 more source

Convergence of Heston to SVI

, 2010
In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of the Heston implied volatility agree algebraically, thus confirming a ...
Gatheral, Jim, Jacquier, Antoine
core   +1 more source