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Implied Volatility Functions: Empirical Tests [PDF]

IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering (CIFEr), 1998
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, Jeff Fleming, Robert E. Whaley   +2 more
openaire   +2 more sources

Melt Grafting of Geometry‐Tailored Voltage Stabilizers for High‐Performance Polypropylene Insulation

Advanced Functional Materials, EarlyView.
A scalable one‐step melt grafting strategy is developed to enhance the dielectric properties of isotactic polypropylene by covalently incorporating thermally stable aromatic voltage stabilizers. This solvent‐free approach improves volume resistivity and DC breakdown strength through deep trap formation and charge localization, offering a sustainable ...
Nazirul Mubin bin Normansah, Taehoon Kwon, Hana Kim, Shin‐Ki Hong, Seung Won Lee, Se Hee Lee, Ik‐Su Kwon, Masahiro Kozako, Minhee Kim, Seunggun Yu   +9 more
wiley   +1 more source

Multilayer Soft Photonic Arrays Inspired by Cephalopod Skin for High‐Density, Independent, and Multimodal Actuation

Advanced Functional Materials, EarlyView.
A vertically stacked, DEA‐driven photonic array inspired by cephalopod skin, featuring highly crystalline colloidal crystal gels with vivid color, low FWHM and scalability is presented. The multilayer design removes lateral pixel interference, achieving near‐100% fill factor with fully independent RGB actuation.
Maga Kim, Imbo Kong, Do Yoon Kim, Jaeyoung Choi, Seong‐Yu Choi, Yun Hyeok Lee, Sihwan Lee, Byung Ik Park, Gimin Sung, In‐Suk Choi, Wook Sung Kim, Jeong‐Yun Sun   +11 more
wiley   +1 more source

On the Curvature of the Bachelier Implied Volatility

Risks
Our aim in this paper is to analytically compute the at-the-money second derivative of the Bachelier implied volatility curve as a function of the strike price for correlated stochastic volatility models.
Elisa Alòs, David García-Lorite
doaj   +1 more source

PERBANDINGAN KEEFISIENAN METODE NEWTON-RAPHSON, METODE SECANT, DAN METODE BISECTION DALAM MENGESTIMASI IMPLIED VOLATILITIES SAHAM

E-Jurnal Matematika, 2016
Black-Scholes model suggests that volatility is constant or fixed during the life time of the option certainly known. However, this does not fit with what happen in the real market. Therefore, the volatility has to be estimated. Implied Volatility is the
IDA AYU EGA RAHAYUNI, KOMANG DHARMAWAN, LUH PUTU IDA HARINI   +2 more
doaj   +1 more source

The Reactive Volatility Model [PDF]

, 2013
We present a new volatility model, simple to implement, that includes a leverage effect whose return-volatility correlation function fits to empirical observations.
Aboura, Sofiane, Grebenkov, Denis, Liu, Qian, Valeyre, Sebastien   +3 more
core   +1 more source

Structure–Transport–Ion Retention Coupling for Enhanced Nonvolatile Artificial Synapses

Advanced Functional Materials, EarlyView.
Nitrogen incorporation into the conjugated backbone of donor–acceptor polymers enables efficient charge transfer and deep ion embedding in organic electrochemical synaptic transistors (OESTs). This molecular‐level design enhances non‐volatile synaptic properties, providing a new strategy for developing high‐performance and reliable neuromorphic devices.
Donghwa Lee, Jinsung Kim, Sein Chung, Junho Sung, Chaeyeon Han, Eunho Lee   +5 more
wiley   +1 more source

Volatility Forecasting Model-Free Implied Volatility [PDF]

Advances in Social Science, Education and Humanities Research, 2015
Volatility in the financial market is an important variable, which in asset pricing, investment, risk management and policy-making process plays an important role. Methods for predicting volatility are mainly divided into two categories, one is the historical information method, based on the historical information to predict the future volatility; the ...
Guibin Lu, Jingfei Cheng
openaire   +1 more source

Understanding and Tuning Mobile Interfaces in Ferroelectric Hf0.5Zr0.5O2 Thin Films in Relation to Microstructure

Advanced Functional Materials, EarlyView.
Ferroelectricity in thin HfO2‐based films offers great possibilities for next‐generation neuromorphic memory devices. There, the response to subcoercive voltage signals is driven by the movement of mobile interfaces and their interaction with crystal defects – a yet rather unexplored aspect, which we shed light on and gain new insights into the complex
Maximilian T. Becker, Yoonsang Park, Kihong Kim, Ji Soo Kim, Nives Strkalj, Atif Jan, Giuliana Di Martino, Benson K. Tsai, Haiyan Wang, Ping Lu, Duk‐Hyun Choe, Judith L. MacManus‐Driscoll   +11 more
wiley   +1 more source

Predictability and predictors of volatility smirk: a study on index options

Business: Theory and Practice, 2017
The purpose of this study is to examine the presence of volatility smirk anomaly in index options and its predictability for future returns. The study tests the temporal properties of volatility smirk and further explores the factors determining the ...
Rajesh Pathak, Amarnath Mitra
doaj   +1 more source