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Introduction: Volatility in finance, art, and culture [PDF]
Finance and Society, 2023 AbstractThe term ‘volatility’ applies to changeability: both that which can be measured, such as temperatures and stock prices, and that which cannot be easily measured, such as affects and emotions. Quantitative financial volatility has typically been studied quite separately from art, culture, and everyday life.
Benjamin Lee, Emily Rosamond
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The Mathematics of Finance: Pricing Volatility derivatives [PDF]
ITM Web of ConferencesIn the increasingly complex world of financial markets, the scope of mathematical finance has expanded beyond traditional stock trading to include derivatives on various financial indices. The trading of stock derivatives has become commonplace across global markets.
Parkpoom Phetpradap, Natkamon Sripanitan
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Finance and Macroeconomic Volatility [PDF]
Contributions in Macroeconomics, 2002 Countries with more developed financial sectors experience less fluctuation in the growth of real per capita output, consumption and investment. However, the manner in which the financial sector develops matters. The relative importance of banks in the financial system is important in explaining consumption and investment volatility, and the proportion
Cevdet Denizer +2 more
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Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors [PDF]
SSRN Electronic Journal, 2014 In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a novelty, the idiosyncratic volatility is obtained by conditioning upon macro-finance factors as well as upon traditional asset pricing factors. The macro-finance factors are constructed from a large pool of macroeconomic and
Nektarios Aslanidis +3 more
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ISLAMIC FINANCE, GROWTH, AND VOLATILITY: A FRESH EVIDENCE FROM 82 COUNTRIES
Journal of Islamic Monetary Economics and Finance, 2023 Islamic finance has gained significant attention during the past decades. Many countries are striving to become Islamic financial hubs. The asset-backed nature of Islamic financial instruments and products adds more reliability to financial transactions.
Mudeer Ahmed Khattak, Noureen A. Khan
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The Effect of Green Finance On Stock Price Volatility
Eduvest - Journal of Universal Studies, 2023 This study aims to determine the effect of green finance (green accounting) on stock price volatility. Stock price volatility is the movement of up and down stock prices on the stock exchange. In this study, the sample used was mining companies listed on the Indonesia Stock Exchange for the 2013-2018 period with a total population of 46 companies ...
Ernst Tunggul Pardomuan Siregar +1 more
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Robust nonlinear filtering of stochastic volatility in finance [PDF]
2001 European Control Conference (ECC), 2001 Volatility of the stock price is the key to the pricing problem of stock related derivatives in finance. Volatility appears in the diffusion term of the usual modeling of stock prices. One popular approach is to take volatility to be stochastic, and assumes that it satisfies a stochastic differential equation.
Shin Ichi Aihara, A. Bagchi
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Asymptotic expansion for some local volatility models arising in finance [PDF]
Decisions in Economics and Finance, 2019 In this paper we study the small noise asymptotic expansions for certain classes of local volatility models arising in finance. We provide explicit expressions for the involved coefficients as well as accurate estimates on the remainders. Moreover, we perform a detailed numerical analysis, with accuracy comparisons, of the obtained results by mean of ...
Sergio Albeverio +3 more
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Volatility as a Transmitter of Systemic Risk: Is there a Structural Risk in Finance? [PDF]
Risk Analysis, 2020 AbstractThis article discusses the role of volatility in the context of systemic risk in finance. The main argument is that volatility transmits risks within the financial system and beyond, shaking the financial system and threatening in particular small or vulnerable clients (SMEs, households, and also low‐ and middle‐income countries).
Harald A. Mieg
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How does long-term finance affect economic volatility? [PDF]
Journal of Financial Stability, 2017 In an approach analogous to Rajan and Zingales (1998), we examine how the ability to access long-term debt affects firm-level growth volatility. We find that firms in industries with stronger preference to use long-term finance relative to short-term finance experience lower growth volatility in countries with better-developed financial systems, as ...
Aslι Demirgüç-Kunt +2 more
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