Results 21 to 30 of about 550,504 (295)

Volatility Options in Rough Volatility Models [PDF]

SSRN Electronic Journal, 2018
We discuss the pricing and hedging of volatility options in some rough volatility models. First, we develop efficient Monte Carlo methods and asymptotic approximations for computing option prices and hedge ratios in models where log-volatility follows a Gaussian Volterra process.
Blanka Horvath, Antoine Jacquier, Peter Tankov   +2 more
openaire   +4 more sources

Volatility is Rough [PDF]

SSRN Electronic Journal, 2014
Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of order 0.1, at any reasonable time scale.
Gatheral, Jim, Jaisson, Thibault, Rosenbaum, Mathieu   +2 more
openaire   +3 more sources

Volatility Forecasting for Low-Volatility Investing

SSRN Electronic Journal, 2022
Low-volatility investing often involves sorting and selecting stocks based on retrospective risk measures, for example, the historical standard deviation of returns. In this paper, we use the volatility forecasts from a wide spectrum of volatility models to sort and select stocks and estimate portfolio weights.
Christian Conrad, Onno Kleen, Rasmus Lönn   +2 more
openaire   +2 more sources

Herbivory by a phloem-feeding insect inhibits floral volatile production [PDF]

, 2012
There is extensive knowledge on the effects of insect herbivory on volatile emission from vegetative tissue, but little is known about its impact on floral volatiles.
Webster Ben, Pareja, Martin, Mayon, Patrick, Glinwood Robert, Birkett, M., Birkett, M. A., Pareja Martin, Pickett John, Erika Qvarfordt, Patrick Mayon, Qvarfordt, E., Qvarfordt, Erika, Michael Birkett, Glinwood, Robert, Glinwood, R., Martin Pareja, Mayon Patrick, Pickett, J. A., Ben Webster, Webster, Ben, John Pickett, Pickett, John, Qvarfordt Erika, Robert Glinwood, Birkett Michael, Webster, B., Mayon, P., Birkett, Michael, Pickett, J., Pareja, M., Sveriges lantbruksuniversitet., Qvarfordt, Erika,, Webster, Ben,, Glinwood, Robert,   +33 more
core   +2 more sources

Effect of essential oil on hypertrophic scars

Medisains, 2021
Background: Hypertrophic scars are abnormal scars resulted from a disrupted wound healing process. Hypertrophic scars can affect the body aesthetic of the sufferers, but, on the other hand, conventional therapy has not been optimally effective.
Ave Olivia Rahman, Humaryanto Humaryanto, Anati Purwakanthi, Charles Apul Simanjuntak   +3 more
doaj   +1 more source

Volatile substance abuse:fatal overdose with dimethylether [PDF]

, 2015
With all of the recent publicity over novel psychoactive substances it is easy to forget that other easily available intoxicants can be found. Dimethyl ether (DME), also known as methylether, is an extremely flammable volatile organic compound with ...
Maskell, P.D., Seetohul, L. Nitin, Seetohul, L. N., De Paoli, Giorgia, Seetohul, L.N., Maskell, Peter D., De Paoli, Giorgia; id_orcid, De Paoli, G.   +7 more
core   +1 more source

A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL [PDF]

International Journal of Theoretical and Applied Finance, 2014
We propose a new type of asymptotic expansion for the transition probability density function (or heat kernel) of certain parabolic partial differential equations (PDEs) that appear in option pricing. As other, related methods developed by Costanzino, Hagan, Gatheral, Lesniewski, Pascucci, and their collaborators, among others, our method is based on ...
Nistor, Victor, Grishchenko, Olesya, Han, Xiao   +2 more
openaire   +4 more sources

Prey and Non-prey Arthropods Sharing a Host Plant: Effects on Induced Volatile Emission and Predator Attraction [PDF]

, 2008
It is well established that plants infested with a single herbivore species can attract specific natural enemies through the emission of herbivore-induced volatiles.
Cornelis A. Hordijk, Marcel Dicke, Dicke, M., Dicke, Marcel, Posthumus, M.A., de Boer, Jetske G., Maarten A. Posthumus, Jetske G. de Boer, Hordijk, Cornelis A., Hordijk, C.A., Boer de, J.G., de Boer, J.G., Posthumus, Maarten A., Boer, J.G., de   +13 more
core   +4 more sources

Analysis of the Effect of Mixed Fermentation on the Quality of Distilled Jujube Liquor by Gas Chromatography-Ion Mobility Spectrometry and Flavor Sensory Description

Foods, 2023
Distilled jujube liquor is an alcoholic beverage made from jujube, which has a unique flavor and a sweet taste. The purpose of this study was to explore the effect of mixed fermentation on the quality of distilled jujube liquor by comparing the ...
Busheng Zhang, Zhongguan Sun, Liangcai Lin, Cuiying Zhang, Chunhui Wei   +4 more
doaj   +1 more source

Caryolan-1-ol, an antifungal volatile produced by Streptomyces spp., inhibits the endomembrane system of fungi [PDF]

Open Biology, 2017
Streptomyces spp. have the ability to produce a wide variety of secondary metabolites that interact with the environment. This study aimed to discover antifungal volatiles from the genus Streptomyces and to determine the mechanisms of inhibition ...
Gyeongjun Cho, Junheon Kim, Chung Gyoo Park, Corey Nislow, David M. Weller, Youn-Sig Kwak   +5 more
doaj   +1 more source