Results 71 to 80 of about 2,890,666 (306)
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
Realized Volatility Risk [PDF]
In this paper we document that realized variation measures constructed from high- frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in ...
David E. Allen +2 more
core +6 more sources
Advanced Functional Materials, EarlyView.Significant nanoscale oxygen diffusion coefficient variations are measured in ferroelectric hafnium zirconium oxide films with grain boundaries and electrode interfaces exhibiting values 104 times larger than the grain cores. Overall coefficients are 10X larger for films prepared with metal nitride electrodes compared to refractory metals. New insights
Liron Shvilberg +6 more
wiley +1 more source
Natural volatility and option pricing [PDF]
In this paper we recover the Black-Scholes and local volatility pricing engines in the presence of an unspecified, fully stochastic volatility. The input volatility functions are allowed to fluctuate randomly and to depend on time to expiration in a ...
Carey, Alexander
core
STOCK SPLIT DAN LIKUIDITAS SAHAM DI BEI: PENGUJIAN MENGGUNAKAN HIPOTESIS LIKUIDITAS
Jurnal Akuntansi dan Keuangan Indonesia, 2010 This study aims to re-examine the effectiveness of liquidity hypothesis in stock split. Liquidity hypothesis in stock split is defined as the returning stock price to the optimal trading level.
Ignatius Roni Setyawan
doaj +1 more source
Historical Foundation and Practical Guideline for Ferroelectric Switching Kinetic Studies
Advanced Functional Materials, EarlyView.The P and U pulses in the conventional PUND measurements are not identical because of the interplay between switching current and the measurement circuit components. This circuit effect can lead to a shift in polarization transients and misinterpreted physics in the switching kinetics.
Yi Liang, Pat Kezer, John T. Heron
wiley +1 more source
Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility [PDF]
This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which new developments related to the impact on measured volatility of market microstructure noise and random jumps are explicitly ...
Gael M. Martin +2 more
core
Advances in Sustainable and Wearable Textile Based Soft Robotics
Advanced Functional Materials, EarlyView.This Review examines advances in wearable textile‐based soft robotics, focusing on sustainable materials, integrated sensing, and scalable actuation. It discusses manufacturing and system integration across healthcare, assistive robotics, prosthetics, and human–machine interfaces, and highlights key challenges in circular design, including life‐cycle ...
Zahir Abbas +6 more
wiley +1 more source
Food price volatility and macroeconomic factor volatility: 'heat waves' or 'meteor showers'?
, 2010 This paper investigates volatility spillover effects between relative food prices and explicit macroeconomic fundamentals, i.e. exchange rates, money balances, inflation, and the deficit to income ratio, through the methodology of GARCH models.
Apergis, Nicholas, Rezitis, Antonios
core
Purification of arsenic trichloride from oxygen impurities by rectification
Технологія та конструювання в електронній апаратурі, 2008 The process of rectification purification of arsenic trichloride from hydrolysis products in a hydrogen chloride atmosphere has been considered. The dependence of the relative volatility coefficient of arsenic trichloride on its concentration in ...
O. V. Maznitska +2 more
doaj