Results 31 to 40 of about 57,558 (274)
Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments [PDF]
This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to ...
Akihiko Takahashi +2 more
core +6 more sources
Bond variance risk premiums [PDF]
, 2017 This paper studies variance risk premiums in the Treasury market. We first develop a theory to price variance swaps and show that the realized variance can be perfectly replicated by a static position in Treasury futures options and a dynamic position in
Choi, Hoyong +2 more
core +1 more source
Arbitrage Bounds for Prices of Weighted Variance Swaps
, 2012 We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted variance swap
Davis, Mark H. A. +2 more
core +1 more source
Reciprocal control of viral infection and phosphoinositide dynamics
FEBS Letters, EarlyView.Phosphoinositides, although scarce, regulate key cellular processes, including membrane dynamics and signaling. Viruses exploit these lipids to support their entry, replication, assembly, and egress. The central role of phosphoinositides in infection highlights phosphoinositide metabolism as a promising antiviral target.
Marie Déborah Bancilhon, Bruno Mesmin
wiley +1 more source
A further look at the 2004 reform of the operational framework of the ECB [PDF]
, 2009 This note reconsiders the impact of the reform of the operational framework of the European Central Bank that took place in March 2004. We estimate a bivariate GARCH model with the overnight rate and 1-year swap rate, where identifying restrictions are
Marzo, Massimiliano, Zagaglia, Paolo
core +2 more sources
A Cre‐dependent lentiviral vector for neuron subtype‐specific expression of large proteins
FEBS Letters, EarlyView.We designed a versatile and modular lentivector comprising a Cre‐dependent switch and self‐cleaving 2A peptide and tested it for co‐expression of GFP and a 2.8 kb gene of interest (GOI) in mouse cortical parvalbumin (PV+) interneurons and midbrain dopamine (TH+) neurons.
Weixuan Xue +6 more
wiley +1 more source
By dawn or dusk—how circadian timing rewrites bacterial infection outcomes
FEBS Letters, EarlyView.The circadian clock shapes immune function, yet its influence on infection outcomes is only beginning to be understood. This review highlights how circadian timing alters host responses to the bacterial pathogens Salmonella enterica, Listeria monocytogenes, and Streptococcus pneumoniae revealing that the effectiveness of immune defense depends not only
Devons Mo +2 more
wiley +1 more source
Financial InnovationThe effects of stochastic volatility, jump clustering, and regime switching are considered when pricing variance swaps. This study established a two-stage procedure that simplifies the derivation by first isolating the regime switching from other ...
Xin-Jiang He, Sha Lin
doaj +1 more source
The role and implications of mammalian cellular circadian entrainment
FEBS Letters, EarlyView.At their most fundamental level, mammalian circadian rhythms occur inside every individual cell. To tell the correct time, cells must align (or ‘entrain’) their circadian rhythm to the external environment. In this review, we highlight how cells entrain to the major circadian cues of light, feeding and temperature, and the implications this has for our
Priya Crosby
wiley +1 more source
Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market [PDF]
, 2008 This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump assets or moment ...
Olhede, Sofia +2 more
core +6 more sources