Results 41 to 50 of about 116,461 (347)
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 +3 more
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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 +3 more
openaire +2 more sources
A guide to reactive oxygen species in tumour hypoxia: measurement and therapeutic implications
Molecular Oncology, EarlyView.Hypoxia reshapes tumour redox landscapes by altering compartmental ROS production (mitochondria, NOX, ER, peroxisomes). Accurate interpretation requires oxygen‐contextualised measurement (live biosensors, chemical probes, EPR, LC–MS) and awareness of artefacts (reoxygenation, probe specificity).
Lina Hacker +3 more
wiley +1 more source
FEBS Open Bio, EarlyView.This study addressed how a senior research thesis is perceived by undergraduate students. It assessed students' perception of research skills, epistemological beliefs, and career goals in Biochemistry (science) and BDC (science‐business) students. Completing a thesis improved confidence in research skills, resilience, scientific identity, closed gender‐
Celeste Suart +4 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
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 +3 more
wiley +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
, 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
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 +4 more
wiley +1 more source
Proceedings, 2020 Computing implied volatility from observed option prices is a frequent and challenging task in finance, even more in the presence of dividends. In this work, we employ a data-driven machine learning approach to determine the Black–Scholes implied ...
Shuaiqiang Liu +3 more
doaj +1 more source