Results 81 to 90 of about 3,977,338 (275)
A new encoding of implied volatility surfaces for their synthetic generation
IET Conference ProceedingsIn financial terms, an implied volatility surface can be described by its term structure, its skewness and its overall volatility level. We use a PCA variational auto-encoder model to perfectly represent these descriptors into a latent space of three dimensions.
Gong, Zheng +5 more
openaire +2 more sources
Implied Volatility Surface: Construction Methodologies and Characteristics [PDF]
SSRN Electronic Journal, 2011 The implied volatility surface (IVS) is a fundamental building block in computational finance. We provide a survey of methodologies for constructing such surfaces. We also discuss various topics which can influence the successful construction of IVS in practice: arbitrage-free conditions in both strike and time, how to perform extrapolation outside the
openaire +2 more sources
Soft Skins With Reversible Thickness Morphing: Materials, Mechanisms, and Applications
Advanced Materials, EarlyView.Evolution of electronic skin (e‐skin) technologies toward adaptive, multifunctional soft skins. Phase I highlights early rigid and discrete sensory interfaces. Phase II shows the transition toward flexible, stretchable, and large‐area e‐skin. Phase III captures the emergence of computational e‐skin.
Oliver Ozioko +2 more
wiley +1 more source
Calibration Design of Implied Volatility Surfaces [PDF]
The calibration of option pricing models leads to the minimization of an error functional. We show that its usual specification as a root mean squared error implies fluctuating exotics prices and possibly wrong prices.
Kai Detlefsen, Wolfgang Härdle
core
Chloride Ions: Essential Agents for Achieving Spontaneous Delamination of MXene
Advanced Materials, EarlyView.This work first identifies chloride ions as essential agents for spontaneous MXene delamination. Without Cl−, etched Ti3C2Tx remains multilayered; with Cl−, interlayer modification enables Li+ intercalation and osmotic swelling. The SPEED process couples HF‐assisted Al extraction, Cl−‐mediated interlayer expansion, and Li+‐driven swelling to produce ...
Sukhyeun Jang +11 more
wiley +1 more source
Hedging with Stochastic and Local Volatility [PDF]
We derive the local volatility hedge ratios that are consistent with a stochastic instantaneous volatility and show that this ‘stochastic local volatility’ model is equivalent to the market model for implied volatilities.
Carol Alexander, Leonardo M. Nogueira
core
Advanced Materials, EarlyView.The transition from cryogenic distillation to polymeric sorbents for light hydrocarbon purification is crucial for energy and environmental sustainability. The polymeric sorbents are engineered to separate gas mixtures based on their specific properties.
Kelechi Festus +9 more
wiley +1 more source
Corridor implied volatility and the variance risk premium in the Italian market [PDF]
Corridor implied volatility introduced in Carr and Madan (1998) and recently implemented in Andersen and Bondarenko (2007) is obtained from model-free implied volatility by truncating the integration domain between two barriers.
Silvia Muzzioli
core
Advanced Materials, EarlyView.This work introduces sustainable PLA/graphene oxide bioelectronic interfaces featuring electrodes with tunable conductivity and strong electrocatalytic performance. These platforms were used to implement a new method for tuning astrocyte Ca2+ signaling and for the efficient detection of key biomarkers.
Alessandra Scidà +15 more
wiley +1 more source
THE TERM STRUCTURE OF IMPLIED FORWARD VOLATILITY: RECOVERY AND INFORMATIONAL CONTENT IN THE CORN OPTIONS MARKET [PDF]
Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the
Egelkraut, Thorsten M. +2 more
core