Results 31 to 40 of about 254,826 (323)

An alternative algorithm for regularization of noisy volatility calibration in Finance [PDF]

Revue Africaine de Recherche en Informatique et Mathématiques Appliquées, 2016
This contribution is an extension of the work initiated in [1], presenting a strategy for the calibration of the local volatility. Due to Morozov's discrepancy principle [6], the Tikhonov regularization problem introduced in [7] is understood as an inequality-constrained minimization problem.
Ibtissam, Medarhri, Rajae, Aboulaich, Debit, Naima   +2 more
openaire   +5 more sources

Semi-parametric Model of Idiosyncratic Volatility Pricing by Explaining the Arbitrage Risk [PDF]

تحقیقات مالی, 2020
Objective: The relationship between idiosyncratic volatility and expected return in finance has become a puzzle. While, based on modern portfolio theory, the relationship between risk and expected return is positive, many studies find a negative ...
Mehdi Asima, Reza Eyvazloo
doaj   +1 more source

ESTIMASI NILAI IMPLIED VOLATILITY MENGGUNAKAN SIMULASI MONTE CARLO

E-Jurnal Matematika, 2018
Investing among investors is an exciting activity to gain profit in the financial world. The development of investment in the financial world affects the number of alternative investment instruments that can be offered to investors in the capital market.
MAKBUL MUFLIHUNALLAH, KOMANG DHARMAWAN, NI MADE ASIH   +2 more
doaj   +1 more source

The Mathematics of Finance: Pricing Volatility derivatives [PDF]

ITM Web of Conferences
In 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.
Phetpradap Parkpoom, Sripanitan Natkamon
doaj   +1 more source

How does long-term finance affect economic volatility? [PDF]

Journal of Financial Stability, 2016
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 ...
Asli Demirguc-Kunt, Harry Huizinga, Harry Huizinga, Bálint L. Horváth   +3 more
openaire   +9 more sources

Volatility and spillover analysis between cryptocurrencies and financial indices: a diagonal BEKK and DCC GARCH model approach in support of SDGs

Cogent Economics & Finance
This study explores the volatility spillover effects between clean and dirty cryptocurrencies and key financial indices, specifically focusing on Green Finance Indices (such as solar, wind, and nuclear) and Economic Indices (like the Baltic Dry Index and
Iulia Cristina Iuga, Raluca-Andreea Nerișanu, Larisa-Loredana Dragolea   +2 more
doaj   +1 more source

Interest rate volatility and financing of Islamic banks

PLOS ONE, 2022
Despite a direct ban on charging interest, interest-based benchmarks are used as a pricing reference by a majority of Islamic banks, due in part to the absence of stable and widely- published alternatives. Benchmarking interest rate exposes Islamic banks to the problems of conventional banks, particularly the interest rate risk.
Muhammad Nouman, Maria Hashim, Vanina Adoriana Trifan, Adina Eleonora Spînu, Muhammad Fahad Siddiqi, Farman Ullah Khan   +5 more
openaire   +3 more sources

Local volatility under rough volatility [PDF]

arXiv, 2022
Several asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small-maturity regime), providing a better understanding of the shapes of the volatility surface induced by rough volatility models, and supporting their calibration power to S&P500 option data. Rough volatility
arxiv  

Rough volatility of Bitcoin [PDF]

Finance Research Letters 32 (2020) 101379, 2019
Recent studies have found that the log-volatility of asset returns exhibit roughness. This study investigates roughness or the anti-persistence of Bitcoin volatility. Using the multifractal detrended fluctuation analysis, we obtain the generalized Hurst exponent of the log-volatility increments and find that the generalized Hurst exponent is less than $
arxiv   +1 more source

Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures [PDF]

, 2015
In this article, we look at the effect of volatility clustering on the risk indifference price of options described by Sircar and Sturm in their paper (Sircar, R., & Sturm, S. (2012). From smile asymptotics to market risk measures. Mathematical Finance. Advance online publication. doi:10.1111/mafi.12015).
arxiv   +1 more source