Results 211 to 220 of about 25,615 (257)
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Volatility forecasting in finance
2021Aufgrund ihrer Bedeutung für Handels- und Hedgingstrategien ist die Volatilitätsprognose seit mehr als 40 Jahren ein aktives Forschungsgebiet. Die anspruchsvolle Aufgabe hat in letzter Zeit mit der erfolgreichen Implementierung von künstlichen neuronalen Netzwerken wieder an Bedeutung gewonnen, welche oft bessere Ergebnisse liefern als viele ...
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An inverse finance problem for estimation of the volatility
Журнал вычислительной математики и математической физики, 2013Summary: The Black-Scholes model as a base model for pricing in derivatives markets has some deficiencies such as ignoring market jumps and considering market volatility as a constant factor. In this article, we introduce a pricing model for European options under jump-diffusion underlying asset.
Neisy, A., Salmani, K.
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Robust nonlinear filtering of stochastic volatility in finance
2001 European Control Conference (ECC), 2001Volatility 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.
Aihara, ShinIchi, Bagchi, Arunabha
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Finance, Growth and Volatility
SSRN Electronic Journal, 2007Eempirical studies have not documented an unambiguous relationship between financial development and volatility of economic growth. Existing evidence of contemporaneous association is also insucient to establish the direction of causality. This paper studies the time series relation between financial development, economic growth and growth volatility ...
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Heterogeneity and Volatility Puzzles in International Finance
SSRN Electronic Journal, 2009AbstractWe develop an equilibrium model in a 2-country, 2-good, pure exchange economy in which investors with logarithmic utility functions have heterogeneous beliefs about exogenously given output or endowment processes. We obtain closed-form representations of real exchange rates and of stock prices.
Tao Li, Mark L. Muzere
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Utilizing Topographic Finance to Understand Volatility
SSRN Electronic Journal, 2015Visual representation methods are a common problem in econometrics and finance in order to describe system dynamics. In this paper we address this problem by using the bi-harmonic oscillation process and the Brownian motion components, to generate a three-dimensional volatility surface.The empirical analysis have been carried out on the S&P500 Index ...
Paul E. Cottrell, Francesco Ungolo
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Valuation and the Volatility of Financing and Investment [PDF]
, 2010 all projects are funded. In the region of multiplicity, the move from a pooling (socially efficient) equilibrium to a valuation (socially inefficient) equilibrium involves many features of a financial crisis: prices decline (interest spreads rise); real investment declines; unsophisticated investors leave the market (flight to quality) and ...
Jonathan A. Parker, Michael Fishman
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Bond financing in volatile times.
Healthcare financial management : journal of the Healthcare Financial Management Association, 2014A competitive landscape for providers and changing market conditions require an understanding of key capital sources: tax-exempt bonds remain an attractive capital source. Credit enhancement for bonds is more expensive and more difficult to find than it was in years past. Direct bond purchases by commercial banks mitigate the traditional risks.
Kenneth A, Gould, Christopher M, Blanda
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Stochastic volatility models with applications in finance
2018<p>Derivative pricing, model calibration, and sensitivity analysis are the three main problems in financial modeling. The purpose of this study is to present an algorithm to improve the pricing process, the calibration process, and the sensitivity analysis of the double Heston model, in the sense of accuracy and efficiency.
Ze Zhao +5 more
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Sailing in Rough Water: Market Volatility and Corporate Finance
SSRN Electronic Journal, 2003Abstract This paper examines how market volatility affects corporate financing transactions. Firms face substantial uncertainty with respect to the price, demand, and after-market costs associated with raising public capital. The ability to effectively hedge this risk is critical to the efficient financing of firm capital needs.
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