Results 21 to 30 of about 187,018 (291)
On the response of the global crypto companies to the sanctions against Russian crypto investors [PDF]
Восточная Азия: факты и аналитика, 2022 A couple of years ago cryptocurrencies were the lot of enthusiasts. Having an electronic wallet with a few thousand bitcoins was not perceived as a sign of wealth or even prosperity, and the tokens were worth almost nothing.
Gorchakova T.E.
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Volatility and arbitrage [PDF]
The Annals of Applied Probability, 2018 The capitalization-weighted total relative variation $\sum_{i=1}^d \int_0^\cdot _i (t) \mathrm{d} \langle \log _i \rangle (t)$ in an equity market consisting of a fixed number $d$ of assets with capitalization weights $ _i (\cdot)$ is an observable and nondecreasing function of time.
Fernholz, E. Robert +2 more
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Local Volatility of Volatility for the VIX Market [PDF]
SSRN Electronic Journal, 2011 ISSN:1380 ...
Walter Farkas +2 more
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Mathematical Biosciences and Engineering, 2021 In view of the important position of crude oil in the national economy and its contribution to various economic sectors, crude oil price and volatility prediction have become an increasingly hot issue that is concerned by practitioners and researchers ...
Hongli Niu, Yazhi Zhao
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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.
Peter Tankov +3 more
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KAJIAN MODEL HIDDEN MARKOV UNTUK MENDUGA VOLATILITAS INDEKS HARGA SAHAM
Prima: Jurnal Pendidikan Matematika, 2019 Abstrak Volatility is a measure of uncertainty. Volatility can either be measured by using the standard deviation or variance between returns. The problem is volatility is unobservable, and estimating volatility is not a trivial task.
Abdul Baist
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Taylor expansion for derivative securities pricing as a precondition for strategic market decisions [PDF]
Problems and Perspectives in Management, 2018 The strategy of managing the pricing processes, in particular managing the dynamics of the price of the underlying asset and its volatility, the prices of indices, shares, options, the magnitude of financial flows, in the method of calculating the ...
Ivan Burtnyak, Anna Malytska
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Methods in Econophysics: Estimating the Probability Density and Volatility [PDF]
, 2022 We discuss and analyze some recent literature that introduced pioneering methods in econophysics. In doing so, we review recent methods of estimating the volatility, volatility of volatility, and probability densities. These methods will have useful applications in econophysics and finance.
arxiv +1 more source
A simple joint model for returns, volatility and volatility of volatility
Journal of Econometrics, 2023 Abstract We propose a model that allows for conditional heteroskedasticity in the volatility of asset returns and incorporates current return information into the volatility nowcast and forecast. Our model can capture all stylised facts of asset returns even with Gaussian innovations and is simple to implement.
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Annales Universitatis Mariae Curie-Skłodowska Sectio H, Oeconomia, 2023 Theoretical background: Retail investors in the financial market have nowadays access to a wide range of investment products. One of the types of such products are open-end investment funds, which by design are asset masses managed by professional ...
Filip Lisak
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