Results 21 to 30 of about 33,734 (264)
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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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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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 +2 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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Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
SIAM Journal on Financial Mathematics, 2023 20 pages, 7 ...
Brian (Xin) Ning +3 more
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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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Packaging of Macroscopic Material Payloads: Needs, Challenges, Concepts, and Future Directions
Advanced Engineering Materials, EarlyView.This review introduces a unified framework that decomposes any macroscopic packaging system into the payload, packaging material, and packaging strategy and combines them into a conceptual packaging equation: packaging strategy = payload + packaging material.
Venkata S. R. Jampani, Manos Anyfantakis
wiley +1 more source
Advanced Engineering Materials, EarlyView.Stabilization of L‐PBF Ni50.7Ti49.3 under low‐cycle loading was investigated. Recoverable strain after cycling was dependent on the amount of applied load. Recovery ratio was 53.4% and 35.1% at intermediate and high load, respectively. The maximum total strain reached 10.3% at a high load of 1200 MPa.
Ondřej Červinek +5 more
wiley +1 more source
An Hilbert space approach for a class of arbitrage free implied volatilities models [PDF]
, 2007 We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$, to
Brace, A., Fabbri, G., Goldys, B.
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MathematicsImplied 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
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