Results 81 to 90 of about 187,533 (367)
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 +3 more sources
Making Photoresponsive Metal–Organic Frameworks an Effective Class of Heterogeneous Photocatalyst
Advanced Functional Materials, EarlyView.This review summarizes photoresponsive MOFs for photocatalytic applications, focusing on their capacity to enhance light harvesting, charge transfer, and surface reactions. While existing studies provide foundational insights, emerging characterization techniques enable a deeper understanding of photoresponsive MOFs.
Rui Liu +3 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
On the difference between the volatility swap strike and the zero vanna implied volatility [PDF]
arXiv, 2019 In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilities driven by fractional noise. To the best of our knowledge, our estimate is the first to derive the rigorous relationship between the zero vanna implied volatility and the ...
arxiv
, 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.
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Forecasting Implied Volatility Surfaces [PDF]
SSRN Electronic Journal, 2008 This paper introduces a new semi-parametric methodology for the implied volatility surface, which incorporates machine learning algorithms. Given a starting model, a tree boosting algorithm sequentially minimizes the residuals of observed and estimated implied volatility.
Audrino, Francesco, Colangelo, Dominik
openaire +4 more sources
Carbon Nanotube 3D Integrated Circuits: From Design to Applications
Advanced Functional Materials, EarlyView.As Moore's law approaches its physical limits, carbon nanotube (CNT) 3D integrated circuits (ICs) emerge as a promising alternative due to the miniaturization, high mobility, and low power consumption. CNT 3D ICs in optoelectronics, memory, and monolithic ICs are reviewed while addressing challenges in fabrication, design, and integration.
Han‐Yang Liu +3 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
Volatility has to be rough [PDF]
arXiv, 2020 First, we give an asymptotic expansion of short-dated at-the-money implied volatility that refines the preceding works and proves in particular that non-rough volatility models are inconsistent to a power law of volatility skew. Second, we show that given a power law of volatility skew in an option market, a continuous price dynamics of the underlying ...
arxiv
Advanced Functional Materials, EarlyView.Geometric multi‐bit patterning based on dynamic wetting and dewetting phenomena creates roulette‐like Physical Unclonable Function (PUF) labels with stochastic yet deterministic properties. This method leverages the solutal‐Marangoni effect for high randomness while achieving deterministic multinary patterns through polygonal confinement of binary ...
Yeongin Cho +8 more
wiley +1 more source