Results 81 to 90 of about 33,734 (264)
Smiles all around: FX joint calibration in a multi-Heston model
, 2012 We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently typical multi-dimensional FX vanilla markets, while retaining the (semi)-analytical tractability typical of affine models and relying on a
De Col, Alvise +2 more
core +1 more source
Rutile Without Substrate Limitations: Top‐Interface‐Driven Crystallization of TiO2
Advanced Materials, EarlyView.A RuO2 upper layer acts as a removable crystallization template that triggers rutile TiO2 formation from the top interface, independent of the underlying substrate. This top‐interface‐driven crystallization mechanism enables rutile growth even on amorphous ZrO2/TiN, offering a substrate‐agnostic route to high‐k dielectrics compatible with DRAM process ...
Jihoon Jeon +3 more
wiley +1 more source
Principal Component Analysis of Volatility Smiles and Skews [PDF]
Several principal component models of volatility smiles and skews have been based on daily changes in implied volatilities, by strike and/or by moneyness.
Carol Alexander
core
Implied volatility surfaces for inverse gamma models [PDF]
, 2005 We study implied volatility surfaces when the squared volatility is driven by an inverse gamma process. We derive the first two conditional moments of the integrated volatility over the time to maturity to study theoretical term structure volatility patterns. We find that these patterns are in accordance with the empirical ones.
Barone-Adesi, Giovanni +2 more
openaire
Advanced Materials, EarlyView.This review traces the evolution of lithium‐ion battery separators from passive barriers to multifunctional components central to cell safety and performance. Polymer‐ceramic hybrids, nanofiber architectures, and bio‐derived membranes deliver ionic conductivities above 3 mS cm−1, thermal stability beyond 200 °C, and effective suppression of lithium ...
Karthik Vishweswariah +5 more
wiley +1 more source
A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics [PDF]
As a function of strike and time to maturity the implied volatility estimation is a challenging task in nancial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied volatility surface ...
Ji Cao, Julius Mungo, Wolfgang Härdle
core
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
, 2020 We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochastic local volatility. First, we handle a case in which the drift is given as difference of two stochastic short rates. Such a setting is natural in foreign
Ogetbil, Orcan
core
Implied Volatility Surface Construction
, 2018 Implied volatility surfaces are central tools used for pricing options. This thesis treats the topic of their construction. The main purpose is to uncover the most appropriate methodology for constructing implied volatility surfaces from discrete data and evaluate how well it performs.
openaire +1 more source
Additive Manufacture of Diamond:Titanium Hybrid Quantum Sensors
Advanced Materials Interfaces, EarlyView.ABSTRACT Additive manufacture represents one of the most advanced techniques for the creation of complex parts for applications as diverse as aerospace and implant surgery. However, a challenge with bespoke manufacture of metal parts is the incorporation of sensor elements in a fashion compatible with the 3D printing process.
Daniel Stavrevski +12 more
wiley +1 more source
Large Deviations for Non-Markovian Diffusions and a Path-Dependent Eikonal Equation [PDF]
, 2014 This paper provides a large deviation principle for Non-Markovian, Brownian motion driven stochastic differential equations with random coefficients.
Ma, Jin +3 more
core +1 more source