Results 71 to 80 of about 116,461 (347)
Dynamics of Connectedness in Clean Energy Stocks
Energies, 2020 This paper examines the dynamics of connectedness among the realized volatility indices of 16 clean energy stocks belonging to the SPGCE and the implied volatility indices of two important stock markets—the S&P 500 and the STOXX50—and two commodities ...
Fernanda Fuentes, Rodrigo Herrera
doaj +1 more source
Advanced Functional Materials, EarlyView.A pore tuning strategy to amplify the multi‐site MOF‐SO2 interactions is proposed to achieve an enhanced trace SO2 capture and chemiresistive sensing in highly stable isostructural DMOFs by annelating benzene rings. This work provides a facile strategy to achieve tailor‐made stable MOF materials for specific multifunctional applications.
Shanghua Xing +9 more
wiley +1 more source
, 2020 An implied volatility is the volatility implied by the market price of an option based on the Black Scholes option pricing model. An interest rate swaption volatility surface is a four dimensional plot of the implied volatility of a swaption as a function of strike and expiry and tenor.
openaire +1 more source
Nanodiamond‐Infused Microgels for pH‐Tunable Rheology, Lubrication, and UV Protection
Advanced Functional Materials, EarlyView.Microgels consisting of swollen polyacrylic acid polymer networks, impregnated with nanodiamonds provide protection from ultraviolet (UV) radiation harmful to human health. Nanodiamonds enable UV blockage and control of the rheology (flow) and lubrication (skin‐feel) of these microgel‐skincare‐mimics.
Pallav K. Jani +10 more
wiley +1 more source
The Information Content of Corridor Volatility Measures During Calm and Turmoil Periods
Quantitative Finance and Economics, 2017 Measurement of volatility is of paramount importance in finance because of the effects on risk measurement and risk management. Corridor implied volatility measures allow us to disentangle the volatility of positive returns from that of negative returns,
Elyas Elyasiani +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 +3 more
core +1 more source
A New Memory Effect in Bulk Crystals of 1T‐TaS2
Advanced Functional Materials, EarlyView.A new memory effect is discovered in 1T‐TaS₂, appearing as a temperature shift in the metal to insulator transition, coinciding with the recently reported ramp reversal memory. These findings imply that ramp reversal memory is an emergent phenomenon, likely to appear in many different systems that share a few basic properties, which are discussed in ...
Avital Fried +4 more
wiley +1 more source
On the Curvature of the Bachelier Implied Volatility
RisksOur 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
Implied Volatility Structure in Turbulent and Long-Memory Markets
Frontiers in Applied Mathematics and Statistics, 2020 We consider fractional stochastic volatility models that extend the classic Black–Scholes model for asset prices. The models are general and motivated by recent empirical results regarding the behavior of realized volatility. While such models retain the
Josselin Garnier, Knut Sølna
doaj +1 more source
The implied volatility of a sports game [PDF]
Journal of Quantitative Analysis in Sports, 2015 AbstractIn this paper we provide a method for calculating the implied volatility of the outcome of a sports game. We base our analysis on Stern’s stochastic model for the evolution of sports scores (Stern, H. S. 1994. “A Brownian Motion Model for the Progress of Sports Scores.”
Polson, Nicholas G, Stern, Hal S
openaire +4 more sources