Results 121 to 130 of about 19,599 (310)

Calibration of the Bass Local Volatility Model

SIAM Journal on Financial Mathematics
The Bass local volatility model introduced by Backhoff-Veraguas, Beiglböck, Huesmann, and Källblad is a Markov model perfectly calibrated to vanilla options at finitely many maturities, that approximates the Dupire local volatility model. Conze and Henry-Labordère show that its calibration can be achieved by solving a fixed-point equation.
Beatrice Acciaio, Antonio Marini, Gudmund Pammer   +2 more
openaire   +2 more sources

Universal Neuromorphic Element: NbOx Memristor with Co‐Existing Volatile, Non‐Volatile, and Threshold Switching

Advanced Functional Materials, EarlyView.
A W/NbOx/Pt memristor demonstrates the coexistence of volatile, non‐volatile, and threshold switching characteristics. Volatile switching serves as a reservoir computing layer, providing dynamic short‐term processing. Non‐volatile switching, stabilized through ISPVA, improves reliable long‐term readout. Threshold switching operates as a leaky integrate
Ungbin Byun, Hyesung Na, Sungjun Kim
wiley   +1 more source

Analytical approximation of the transition density in a local volatility model

Open Mathematics, 2012
Pagliarani Stefano, Pascucci Andrea
doaj   +1 more source

Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures

, 2019
Beatrice Acciaio, Julien Guyon
openalex   +1 more source

A Van der Waals Optoelectronic Synapse with Tunable Positive and Negative Post‐Synaptic Current for Highly Accurate Spiking Neural Networks

Advanced Functional Materials, EarlyView.
A van der Waals optoelectronic synaptic device based on a ReS2/WSe2 heterostructure and oxygen‐treated h‐BN is presented, which enables both positive and negative PSCs through photocarrier polarity reversal. Bidirectional plasticity arises from gate‐tunable band bending and charge trapping‐induced quasi‐doping.
Hyejin Yoon, Soeun Park, Yeong Kwon Kim, Juhwan Baek, Ki Han Kim, Seongil Yun, Hyeonchang Son, Jeongeun Choi, Byung Chul Jang, Dong‐Ho Kang   +9 more
wiley   +1 more source

Local and Terminal Volatility of Equity in a Hybrid Model with Hull White Interest Rates

, 2016
Joachim Paulusch
openalex   +1 more source

Smarter Sensors Through Machine Learning: Historical Insights and Emerging Trends across Sensor Technologies

Advanced Functional Materials, EarlyView.
This review highlights how machine learning (ML) algorithms are employed to enhance sensor performance, focusing on gas and physical sensors such as haptic and strain devices. By addressing current bottlenecks and enabling simultaneous improvement of multiple metrics, these approaches pave the way toward next‐generation, real‐world sensor applications.
Kichul Lee, Osman Gul, Yeongjae Kwon, Jaeseok Jeong, Seokjoo Cho, Jihyeon Ahn, Jehee Yu, Cheolmin Kim, Donho Lee, Hyeonseok Han, Byeongju Lee, Jungrak Choi, Ji‐Hwan Ha, Yongrok Jeong, Kyungnam Kang, Ali Javey, Junseong Ahn, Inkyu Park   +17 more
wiley   +1 more source

Implied Volatility from Local Volatility: A Path Integral Approach

, 2014
Tai‐Ho Wang, Jim Gatheral
openalex   +1 more source

Spatiotemporal Plasma–Mediated Laser Fabrication of Ultrahigh‐Aspect‐Ratio Nanochannel Arrays for Vertical Perovskite Nanowire Semiconductor Devices

Advanced Functional Materials, EarlyView.
A spatiotemporal plasma–mediated laser processing approach is developed to fabricate ultrahigh–aspect ratio nanochannel arrays and corresponding perovskite nanowire arrays within transparent materials for optoelectronics devices. The laser‐fabricated nanochannels serve as templates for controlled perovskite infiltration and crystallization, enabling ...
Taijin Wang, Lingfeng Wang, Feng Liu, Gary J. Cheng   +3 more
wiley   +1 more source

Multi-asset and generalised Local Volatility. An efficient implementation [PDF]

olivier DELOIRE, Louis Roth
openalex   +1 more source