Results 11 to 20 of about 990 (183)
Asymptotic Expansion of Risk-Neutral Pricing Density
International Journal of Financial Studies, 2018 A new method for pricing contingent claims based on an asymptotic expansion of the dynamics of the pricing density is introduced. The expansion is conducted in a preferred coordinate frame, in which the pricing density looks stationary.
Thomas Mazzoni
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Credit Spreads and Equity Volatility during Periods of Financial Turmoil
Applied Finance Letters, 2014 We present a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface for the United States and five European countries from 2007– 2012, a sample period covering both the Global Financial Crisis (GFC ...
Katrin Gottschalk
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Option Pricing under the Jump Diffusion and Multifactor Stochastic Processes
Journal of Function Spaces, 2019 In financial markets, there exists long-observed feature of the implied volatility surface such as volatility smile and skew. Stochastic volatility models are commonly used to model this financial phenomenon more accurately compared with the conventional
Shican Liu +3 more
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Real Options Volatility Surface for Valuing Renewable Energy Projects
EnergiesReal options analysis is an adequate tool with which to value companies and projects under investment uncertainty. Nevertheless, the estimation of the volatility to be employed in the valuation procedure is a challenging task.
Rosa-Isabel González-Muñoz +3 more
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Implied Distributions from GBPUSD Risk-Reversals and Implication for Brexit Scenarios
Risks, 2017 Much of the debate around a potential British exit (Brexit) from the European Union has centred on the potential macroeconomic impact. In this paper, we instead focus on understanding market expectations for price action around the Brexit referendum date.
Iain J. Clark, Saeed Amen
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GAN-Enhanced Implied Volatility Surface Reconstruction for Option Pricing Error Mitigation
IEEE AccessThe accurate modeling of implied volatility surfaces is crucial for option pricing and risk management in financial markets. Traditional parametric approaches, such as the Stochastic Volatility Inspired (SVI) model, often suffer from rigid functional ...
Yao Ge +3 more
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Advanced Engineering Materials, EarlyView.Geometry‐driven thermal behavior in wire‐arc additive manufacturing (WAAM) influences microstructural evolution during nonequilibrium solidification of a chemically complex Fe–Cr–Nb–W–Mo–C nanocomposite system. By comparing different deposits configurations, distinct entropy–cooling rate correlations, segregation, and carbide evolution are revealed ...
Blanca Palacios +5 more
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Performance Analysis of Abradable Coating Systems for Aircraft Gas Turbines
Advanced Engineering Materials, EarlyView.Three CoNiCrAlY/YSZ/MgAl2O4 abradable liner configurations on a nickel‐superalloy are evaluated by thermal‐gradient cycling and incursion tests. Laser ablation of the bondcoat and/or Y2O3‐stabilized ZrO2 (YSZ) intermediate layer increases mechanical interlocking and bonding for thick topcoats.
Hanna Heyl +4 more
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Advanced Engineering Materials, EarlyView.A distinct semi‐confined inner‐tube chemical vapor deposition geometry enables reproducible, large‐area growth of phase‐pure 2D β′‐In2Se3 from InI + Se precursors. Engineering local vapor transport and optimizing precursor delivery and temperature–time conditions yield uniform continuous films.
Dasun P. W. Guruge +8 more
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Advanced Engineering Materials, EarlyView.This article presents an experimental and numerical modal investigation of composite sandwich structures using surfboards as model systems. By comparing different core materials and reinforcement strategies, the study demonstrates how local stiffeners influence vibrational response and introduce characteristic modal features, highlighting modal ...
Brett Connellan +4 more
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