Results 11 to 20 of about 57,558 (274)
Economies, 2021 In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and
Hassan Zada +2 more
doaj +1 more source
Pricing of Pseudo-Swaps Based on Pseudo-Statistics
Risks, 2023 The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the stochastic processes for the underlying assets and their volatilities.
Sebastian Franco, Anatoliy Swishchuk
doaj +1 more source
A note on contracts on quadratic variation. [PDF]
PLoS ONE, 2017 Given a Black stochastic volatility model for a future F, and a function g, we show that the price of [Formula: see text] can be represented by portfolios of put and call options. This generalizes the classical representation result for the variance swap.
Carl Lindberg
doaj +1 more source
Information, 2021 During the search for S-boxes resistant to Power Attacks, the S-box space has recently been divided into Hamming Weight classes, according to its theoretical resistance to these attacks using the metric variance of the confusion coefficient.
Carlos Miguel Legón-Pérez +5 more
doaj +1 more source
Frontiers in Psychology, 2021 Features of personality disorders (PDs) have been found to explain meaningful variance in the onset, maintenance, and symptomatic presentation of eating disorders (EDs), and a co-occurent personality pathology is commonly associated with poorer response ...
Laura Muzi +4 more
doaj +1 more source
Energies, 2020 Swap charging (SC) technology offers the possibility of swapping the batteries of electric vehicles (EVs), providing a perfect solution for achieving a long-distance freeway trip.
Lingshu Zhong, Mingyang Pei
doaj +1 more source
Entropy, 2014 We study the problem of finding probability densities that match given European call option prices. To allow prior information about such a density to be taken into account, we generalise the algorithm presented in Neri and Schneider (Appl. Math. Finance
Cassio Neri, Lorenz Schneider
doaj +1 more source
Spontaneous mutations decrease sensitivity of gene expression to random environmental variation in Caenorhabditis elegans. [PDF]
PLoS ONE, 2010 Biological phenotypes are described as "canalized" if they are robust to minor variation of environment and/or genetic background. The existence of a robust phenotype logically implies that some underlying mechanism must be variable, in the sense of ...
Charles F Baer, Dee R Denver
doaj +1 more source
Closed-Form Formula for the Conditional Moments of Log Prices under the Inhomogeneous Heston Model
Computation, 2022 Several financial instruments have been thoroughly calculated via the price of an underlying asset, which can be regarded as a solution of a stochastic differential equation (SDE), for example the moment swap and its exotic types that encourage investors
Kittisak Chumpong +1 more
doaj +1 more source
The Volatility of the “Green” Option-Adjusted Spread: Evidence before and during the Pandemic Period
Risks, 2022 The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period.
Alessandra Ortolano, Eugenia Nissi
doaj +1 more source