Results 61 to 70 of about 204,882 (322)
Explicit implied volatilities for multifactor local-stochastic volatility models [PDF]
arXiv, 2013 We consider an asset whose risk-neutral dynamics are described by a general class of local-stochastic volatility models and derive a family of asymptotic expansions for European-style option prices and implied volatilities. Our implied volatility expansions are explicit; they do not require any special functions nor do they require numerical ...
arxiv
Carbon Fiber Reinforced Thermoplastics: From Materials to Manufacturing and Applications
Advanced Materials, EarlyView.A contemporary and critical review on carbon fiber reinforced thermoplastics. The common thermoplastic and carbon fiber applied in the manufacture of carbon fiber reinforced thermoplastics are summarized, and the processing and postprocessing methods are reviewed, with emphasis on state‐of‐the‐art welding techniques.
Howard (Hao) Wang +6 more
wiley +1 more source
A note on estimating stochastic volatility and its volatility: a new simple method [PDF]
arXiv, 2012 We present a new simple method of estimating stochastic volatility and its volatility. This method is applicable to both cross-sectional and time-series data. Moreover, this method does not require volatility data series.
arxiv
Neuromorphic Light‐Responsive Organic Matter for in Materia Reservoir Computing
Advanced Materials, EarlyView.In this work we show that light‐responsive adaptive organic matter can store and process information at the matter level, and emulate neuromorphic functionalities such as short term memory, long term memory and visual memory. Besides demonstrating that material dynamics can be exploited for spatio‐temporal event detection and motion perception, we show
Federico Ferrarese Lupi +5 more
wiley +1 more source
Comparison of the Korean and US Stock Markets Using Continuous-time Stochastic Volatility Models†
KDI Journal of Economic Policy, 2018 We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007) to compare the Korean and US stock markets.
CHOI, SEUNGMOON
doaj +1 more source
Volatility Inference and Return Dependencies in Stochastic Volatility Models [PDF]
arXiv, 2016 Stochastic volatility models describe stock returns $r_t$ as driven by an unobserved process capturing the random dynamics of volatility $v_t$. The present paper quantifies how much information about volatility $v_t$ and future stock returns can be inferred from past returns in stochastic volatility models in terms of Shannon's mutual information.
arxiv
Advanced Materials, EarlyView.An LLM‐based multi‐agent network screens academic literature to propose multiple environmentally friendly aqueous deep eutectic electrolytes for zinc‐ion batteries. Experiments identify an optimal composition of Zn(BF4)2·xH2O and ethylene carbonate, which shows high conductivity and cycling stability.
Matthew J. Robson +4 more
wiley +1 more source
Comparative Study of Two Extensions of Heston Stochastic Volatility Model [PDF]
arXiv, 2019 In the option valuation literature, the shortcomings of one factor stochastic volatility models have traditionally been addressed by adding jumps to the stock price process. An alternate approach in the context of option pricing and calibration of implied volatility is the addition of a few other factors to the volatility process.
arxiv
Super-replication in stochastic volatility models under portfolio constraints [PDF]
, 1999 Jakša Cvitanić +2 more
openalex +2 more sources
Organic Ferroelectric Synaptic Transistors for Neural Image Recognition Networks
Advanced Materials Interfaces, EarlyView.All organic transistors, where both the dielectric and semiconducting layers are polymeric, are developed as electrical synaptic devices. Two copolymers of PVDF as the dielectric layer with large differences in their saturation polarizability and memory window are chosen.
Evan Restuccia +2 more
wiley +1 more source