Results 41 to 50 of about 19,599 (310)
RisksWe study the shape of the Bachelier-implied volatility of a spread option on two assets following correlated local volatility models. This includes the limiting case of spread options on two correlated Black–Scholes (BS) assets.
Dan Pirjol
doaj +1 more source
Volatility spillovers and the role of leading financial centres
PSL Quarterly Review, 2012 This paper investigates volatility spillovers between eleven equity markets located in Europe, Asia, Latin America and the US from July 1992 to July 1999. The absolute value of stock returns is adopted as volatility index.
Giulio Cifarelli, Giovanna Paladino
doaj +1 more source
Advanced Engineering Materials, EarlyView.This article provides an overview of recent advancements in bulk processing of rare‐earth‐free hard magnetic materials. It also addresses related simulation approaches at different scales. The research on rare‐earth‐free magnetic materials has increased significantly in recent years, driven by supply chain issues, environmental and social concerns, and
Daniel Scheiber, Andrea Bachmaier
wiley +1 more source
Energy Strategy ReviewsThe volatility of China's emission trading system (ETS) pilots is significantly influenced by economic policy uncertainty (EPU). This article examines how EPU affects the volatility of three typical ETS pilots in China—Hubei, Guangdong, and Beijing—using
Mengwen Chen, Lu Chung
doaj +1 more source
Foreign portfolio investment, returns, exchange rate and inflation for Zimbabwe: A Granger Causality and EGARCH approach [PDF]
AccountingThis paper analyses the causal relationship between Foreign Portfolio Investment (FPI), Equities Market Volatility, Exchange Rate and Inflation in Zimbabwe using a monthly time series data between October 2018 and November 2021.
Talent Kondo +3 more
doaj +1 more source
Agricultural and Food Economics, 2020 Existing literature has not yet identified the common determinants of price volatility transmission in agricultural commodities from international to local markets and has rarely investigated the role of self-sufficiency measures in the context of ...
Jin Guo, Tetsuji Tanaka
doaj +1 more source
New Approximations in Local Volatility Models [PDF]
SSRN Electronic Journal, 2010 For general time-dependent local volatility models, we propose new approximation formulas for the price of call options. This extends previous results of Benhamou et al. (Int. J. Theor. Appl. Finance 13(4):603–634, 2010) where stochastic expansions combined with Malliavin calculus were performed to obtain approximation formulas based on the local ...
Gobet, Emmanuel, Suleiman, Ali
openaire +2 more sources
Advanced Engineering Materials, EarlyView.This study explores the replacement of cobalt using the high‐entropy alloy design strategy for wear‐resistant components operating at high temperatures. Starting from the Cantor alloy, cobalt is substituted with Cu, Al, V, or Mo. Metallurgical and tribological analyses reveal that aluminum, vanadium, and molybdenum effectively strengthen the developed ...
Rafaël Jénot +5 more
wiley +1 more source
Pricing Arithmetic Asian Options under Hybrid Stochastic and Local Volatility
Journal of Applied Mathematics, 2014 Recently, hybrid stochastic and local volatility models have become an industry standard for the pricing of derivatives and other problems in finance. In this study, we use a multiscale stochastic volatility model incorporated by the constant elasticity ...
Min-Ku Lee +2 more
doaj +1 more source
A Novel Method of Local Anode Effect Prediction for Large Aluminum Reduction Cell
Applied Sciences, 2022 A method of local anode effect prediction is proposed for the problem that it is difficult to detect the local anode effect in large aluminum reduction cell in real time.
Jiarui Cui +8 more
doaj +1 more source