Results 61 to 70 of about 184,275 (367)
Implied Volatility Functions: Empirical Tests [PDF]
IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering (CIFEr), 1996 Abstract Expected future volatility plays a central role in finance theory. Consequently, accurately estimating this parameter is crucial to meaningful financial decision making. Finance researchers generally rely on the past behavior of asset prices to develop expectations about volatility, documenting movements in volatility as they ...
Bernard Dumas +2 more
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The Impact of Determinants on the Volatility of Banking Sector Stock Returns in Europe
Problemy Zarządzania, 2019 The aim of the paper is to examine the impact of macroeconomic determinants on the volatility of banking sector stock returns in Europe. The research was conducted for 182 banks in 26 European countries in which banks are listed in the stock market.
Katarzyna Niewińska
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International Journal of Energy Economics and Policy, 2023 This paper investigates the leverage effect of local realised exchange rate volatility and implied volatilities in energy market on exchange rate returns in BRICS for the period May 7, 2012 to March 31, 2022, using the quantile regression technique ...
Thobekile Qabhobho
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Advanced Engineering Materials, EarlyView.Refractory high‐entropy alloys have attracted substantial attention for future ultrahigh‐temperature structural applications. Here the progression of key phase transformations in AlMo0.5NbTa0.5TiZr is established and correlated to the mechanical performance, highlighting the importance of the B2 phase.
George J. Wise +5 more
wiley +1 more source
, 2020 One can extract the implied volatility from the market volatility smile corresponding to the option’s moneyness. FX volatility surface is a three-dimensional plot of the implied volatility as a function of term and Delta smile. FX volatility comes in Delta convention of market quotes for at-the-money, 10%, and 25% deltas.
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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
DSFM Fitting of Implied Volatility Surfaces [PDF]
SSRN Electronic Journal, 2005 The implied volatility became one of the key issues in modern quantitative finance, since the plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely traded, which results in a great amount of high-dimensional data especially on an intra day level ...
Fengler, Matthias +2 more
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Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting
Journal of Agricultural and Resource Economics, 2011 This paper examines returns from holding 30- and 90-day call and put positions, and the forecasting performance of implied volatility in the live and feeder cattle options markets.
Lee Brittain +2 more
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Advanced Functional Materials, EarlyView.Copper sulfide based electrocatalysts for CO2 conversion are selective for production of formate as major product. Transformations under electrochemical conditions result in significant sulfur loss, and this study examines the nature of how persistent, residual sulfur (observed as surface SO42– species and S dissolved in the electrolyte) can sustain ...
Sasho Stojkovikj +8 more
wiley +1 more source
Energies, 2020 This paper aims to analyze the impact of implied volatility on the costs, break-even points (BEPs), and the final results of the vertical spread option strategies (vertical spreads).
Bartosz Łamasz, Natalia Iwaszczuk
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