Results 21 to 30 of about 993 (234)

Deep Smoothing of the Implied Volatility Surface [PDF]

SSRN Electronic Journal, 2019
We present a neural network (NN) approach to fit and predict implied volatility surfaces (IVSs). Atypically to standard NN applications, financial industry practitioners use such models equally to replicate market prices and to value other financial instruments.
Ackerer, Damien, Tagasovska, Natasa, Vatter, Thibault   +2 more
openaire   +2 more sources

Real Options Volatility Surface for Valuing Renewable Energy Projects

Energies
Real 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, Jesús Molina-Muñoz, Andrés Mora-Valencia, Javier Perote   +3 more
doaj   +1 more source

Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders

SIAM Journal on Financial Mathematics, 2023
20 pages, 7 ...
Brian (Xin) Ning, Sebastian Jaimungal, Xiaorong Zhang, Maxime Bergeron   +3 more
openaire   +3 more sources

GAN-Enhanced Implied Volatility Surface Reconstruction for Option Pricing Error Mitigation

IEEE Access
The 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, Ying Wang, Jingyi Liu, Jiyuan Wang   +3 more
doaj   +1 more source

Arbitrage-free smoothing of the implied volatility surface [PDF]

Quantitative Finance, 2009
The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in negative transition probabilities and/ or negative local volatilities, and ultimately, into mispricings.
openaire   +5 more sources

Mycobacterial cell division arrest and smooth‐to‐rough envelope transition using CRISPRi‐mediated genetic repression systems

FEBS Open Bio, EarlyView.
CRISPRI‐mediated gene silencing and phenotypic exploration in nontuberculous mycobacteria. In this Research Protocol, we describe approaches to control, monitor, and quantitatively assess CRISPRI‐mediated gene silencing in M. smegmatis and M. abscessus model organisms.
Vanessa Point, Wafaa Achache, Janïs Laudouze, Eliana Sepulveda Ramos, Mickaël Maziero, Céline Crauste, Stéphane Canaan, Pierre Santucci   +7 more
wiley   +1 more source

Impact of Textile Architecture on the Electromechanical Behavior of Conductive Carbon: Silicone Composite Strain Sensors

Advanced Engineering Materials, EarlyView.
A stretchable carbon composite is integrated by stencil printing onto two different types of textile, with different yarn morphologies. The impact of the knit structure and coating direction on the performance of the sensor composite is evaluated and used to derive a model estimating nominal resistance at a given strain near the percolation threshold ...
Gabriela Ananieva, Giulia Spallanzani, Peter Zalar   +2 more
wiley   +1 more source

Modeling Implied Volatility Surface Using B-Splines with Time-Dependent Coefficients Predicted by Tree-Based Machine Learning Methods

Mathematics
Implied volatility is known to have a string structure (smile curve) for a given time to maturity and can be captured by the B-spline. The parameters characterizing the curves can change over time, which complicates the modeling of the implied volatility
Zihao Chen, Yuyang Li, Cindy Long Yu
doaj   +1 more source

Implied volatility surface predictability: The case of commodity markets [PDF]

Journal of Banking & Finance, 2019
35 pages, 6 figures, 9 tables, to appear in Journal of Banking and ...
Fearghal Kearney, Han Lin Shang, Lisa Sheenan   +2 more
openaire   +4 more sources

Inflammatory Response‐Inspired Thermochromic Shield for Pneumatic Structures

Advanced Engineering Materials, EarlyView.
A thermochromic shield for pneumatic structures is developed, using anhydrous sodium acetate powder and thermochromic pigment‐included solution. In this shield composed of three layers, the exothermic and thermochromic reactions, followed by the mixture of both components, occur promptly with an incident of penetrating damage as a sign of initial ...
Hyun Jae Lee, Ryuma Niiyama
wiley   +1 more source