Results 71 to 80 of about 33,734 (264)
Common Functional Implied Volatility Analysis [PDF]
Trading, hedging and risk analysis of complex option portfolios depend on accurate pricing models. The modelling of implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the Black-Scholes (BS) pricing formula. It
Michal Benko, Wolfgang Härdle
core
A flexible matrix Libor model with smiles
, 2012 We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changing the choice of the state space.
Da Fonseca, José +2 more
core +1 more source
Advanced Materials, EarlyView.Schematic illustration of the electrically assisted thermal stamping (EATS) method for direct fabrication of carbon‐based nanofilms and their multifunctional applications. Localized Joule heating triggers simultaneous exfoliation, reduction, and fluoropolymer incorporation under ambient conditions, yielding tunable carbon‐based thin‐film coatings ...
Byungseok Seo +9 more
wiley +1 more source
Leveraged ETF options implied volatility paradox: A statistical study
, 2016 In this paper, we study the statistical properties of the moneyness scaling transformation by Leung and Sircar (2015). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the discrepancy between ...
Hong, Zhiwu +2 more
core +1 more source
2D MOF with Intrinsic Porosity for Colorimetric Volatile Organic Compounds (VOCs) Detection
Advanced Materials, EarlyView.An uncommon 2D MOF with intrinsic in‐plane porosity that can be mechanically exfoliated undergoes a distinct and reversible colour change upon exposure to various volatile organic compounds. ABSTRACT In this work, we report an uncommon 2D metal–organic framework (MOF) with intrinsic in‐plane porosity that undergoes a distinct and reversible colour ...
Sergio R. Gamarra +4 more
wiley +1 more source
Long Memory Persistence in the Factor of Implied Volatility Dynamics [PDF]
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small number of ...
Julius Mungo, Wolfgang Härdle
core
2D Nanomaterials Toward Function‐Ready Superlubricity in Advanced Microsystems
Advanced Materials, EarlyView.A unified framework links structural and transformation superlubricity with microsystem functions and deployment requirements. Mechanisms, device architectures, integration strategies, AI‐guided discovery, and benchmarking protocols are connected to define function‐ready superlubricity in advanced microsystems.
Yushan Geng, Jun Yang, Yong Yang
wiley +1 more source
All‐Optical Reconfigurable Physical Unclonable Function for Sustainable Security
Advanced Materials, EarlyView.An all‐optical reconfigurable physical unclonable function (PUF) is demonstrated using plasmonic coupling–induced sintering of optically trapped gold nanoparticles, where Brownian motion serves as a robust entropy source. The resulting optical PUF exhibits high encoding density, strong resistance to modeling attacks, and practical authentication ...
Jang‐Kyun Kwak +4 more
wiley +1 more source
VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings [PDF]
The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface.
Carsten Trenkler +3 more
core
Advanced Materials, EarlyView.We address the inherently weak particle adhesion of conventional air filters by coating a dynamically crosslinked adhesive layer that delivers capillarity‐driven strong adhesion and particle absorption mediated by dynamic bond exchange. The resulting enhancement in particle adhesion enables efficient ultrafast (up to 20 m s−1) and omnidirectional ...
Junyong Park +11 more
wiley +1 more source