Results 71 to 80 of about 3,977,338 (275)
Determinants of the implied volatility function on the Italian Stock Market [PDF]
This paper describes the implied volatility function computed from options on the Italian stock market index between 1995 and 1998 and tries to find out potential explanatory variables.
Alessandro Beber
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Constructing volatility surfaces for managed funds [PDF]
, 2014 Includes bibliographical referencesIn this dissertation, a methodology is developed for constructing a volatility surface for a managed fund by extending the work of Bakshi et al. (2003) and Taylor (2014).
Brinkman, Trevor Joseph
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Advanced Materials, EarlyView.A dual‐timescale reservoir based on monolithically 3D (M3D)‐integrated CNT solid ion‐gated transistors is demonstrated. Tunable ionic dynamics and pulse‐engineered operation enable linear and symmetric synaptic updates. The M3D‐integrated array achieves robust temporal encoding and accurate classification of moving MNIST sequences, highlighting its ...
Haksoon Jung +9 more
wiley +1 more source
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
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Navigating Lipid Nanostructure Design Space Through Continuous Microfluidic Automation
Advanced Materials, EarlyView.LipidXplorer is a novel microfluidic platform which enables rapid navigation of lipid particle design space for high‐resolution phase mapping, lipid nanoparticle optimization, membrane biophysics, and functional nanomaterial discovery. It combines programmable composition control, continuous nanoparticle formation, and automated well‐plate collection ...
Bradley Diggines +10 more
wiley +1 more source
Does implied volatility reflect a wider information set than econometric forecasts? [PDF]
Much research has addressed the relative performance of option implied volatilities and econometric model based forecasts in terms of forecasting asset return volatility.
James Curchin +2 more
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SIAM Journal on Financial MathematicsIt is a market practice to express market-implied volatilities in some parametric form. The most popular parametrizations are based on or inspired by an underlying stochastic model, like the Heston model (SVI method) or the SABR model (SABR parametrization). Their popularity is often driven by a closed-form representation enabling efficient calibration.
Nicola F. Zaugg +2 more
openaire +3 more sources
Reconfigurable Ferroelectric‐Like Two‐Dimensional Electron Gas at Room Temperature
Advanced Materials, EarlyView.We demonstrate the realization of a novel ferroelectric‐like two‐dimensional electron gas (2DEG) based on the epitaxial interface between SrO‐terminate SrTiO3 and ferroeletric KNb0.5Na0.5O3${\rm KNb}_{0.5}{\rm Na}_{0.5}{\rm O}_3$ thin films. We show nonvolatile control of the transport properties enabling spatially reconfigurable devices in which ...
Martando Rath +16 more
wiley +1 more source
Establishing Atomic Coherence in Twisted Oxide Membranes Containing Volatile Elements
Advanced Materials, EarlyView.Twisted oxide membranes containing volatile elements often suffer from amorphous interfacial dead layers that suppress coupling. An oxygen‐annealing strategy establishes atomically coherent and chemically bonded interfaces in twisted NaNbO3 membranes, enabling coherent oxide moiré architectures in volatile‐element‐containing systems.
Young‐Hoon Kim +6 more
wiley +1 more source
Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility [PDF]
In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect.
Jean-Marie Dufour +2 more
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