Results 251 to 260 of about 26,900 (296)

Quantum-enhanced LSTM for predictive maintenance in industrial IoT systems. [PDF]

MethodsX
K S, S V, R S, D R.
europepmc   +1 more source

Gene expression QTL mapping in stimulated iPSC-derived macrophages provides insights into common complex diseases. [PDF]

Nat Commun
Panousis NI, El Garwany O, Knights A, Rop JC, Kumasaka N, Imaz M, Boquete Vilarino L, Tsingene A, Tokolyi A, Barnett A, Gomez C, Anderson CA, Gaffney DJ.   +12 more
europepmc   +1 more source

Social Media, Health Consciousness, and Cultural Influences on Sugar Reduction Behaviors in Chinese Youth: Extending the Stimulus-Organism-Response Model.

J Med Internet Res
Hu B, Zhu Y, Bao R, Zhao Z, Liu C, Lin A.   +5 more
europepmc   +1 more source

Swap rate variance swaps [PDF]

Quantitative Finance, 2008
We study the hedging and valuation of generalized variance swaps defined on a forward swap interest rate. Our motivation is the fundamental role of variance swaps in the transfer of variance risk, and the extensive empirical evidence documenting that the variance realized by interest rates is stochastic.
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Variance swap dynamics

Quantitative Finance, 2013
We compare several parametric and non-parametric approaches for modelling variance swap curves by conducting an in-sample and an out-of-sample analysis using market prices. The forecasted Heston model gives the best overall performance. Moreover, the static Heston model highlights some problems of stochastic volatility models in option pricing of ...
K. Detlefsen, W. K. Härdle
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Pricing Variance Swap

2021
A variance swap is an instrument which allows investors to trade future realized (historical) volatility against current implied volatility. The Variance Swap pays the difference between observed variance and a strike variance, possibly subject to a cap and a floor.
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Pricing of variance swap rates and investment decisions of variance swaps: Evidence from a three-factor model

European Journal of Operational Research, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yi Hong, Xing Jin
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Model Risk in Variance Swap Rates [PDF]

SSRN Electronic Journal, 2011
Different theoretical and numerical methods for calculating the fair-value of a variance swap give rise to systematic biases that are most pronounced during volatile periods. For instance, differences of 10-20 percentage points would have been observed on fair-value index variance swap rates during the banking crisis in 2008, depending on the formula ...
Carol Alexander, Stamatis Leontsinis
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Variance and Volatility Swap Model

2023
A variance/volatility swap is an instrument that allows explicit exposure to the realized variance/volatility of an index, stock, etc., without exposure to other risks commonly encountered with derivatives: delta, gamma, etc.
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