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Stochastic and Statistical Analysis of Cnoidal, Snoidal, Dnoidal, Hyperbolic, Trigonometric and Exponential Wave Solutions of a Coupled Volatility Option-Pricing System. [PDF]

Entropy (Basel)
Abdalgadir LM, Ahmad S, Youniso B, Aldwoah K.   +3 more
europepmc   +1 more source

The invisible emotional labour sustaining LGBTQIA+ programmes within health organisations. [PDF]

PLOS Glob Public Health
Sasikala A, Sharma P, Raghuram H, Bhan A.   +3 more
europepmc   +1 more source

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Volatility forecasting in finance

2021
Aufgrund 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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Robust nonlinear filtering of stochastic volatility in finance

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.
Aihara, ShinIchi, Bagchi, Arunabha
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An inverse finance problem for estimation of the volatility

Журнал вычислительной математики и математической физики, 2013
Summary: 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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Finance, Growth and Volatility

SSRN Electronic Journal, 2007
Eempirical 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, 2009
AbstractWe 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, 2015
Visual 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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