Results 81 to 90 of about 254,826 (323)
Stochastic Volatility in a Macro-Finance Model of the US Term Structure of Interest Rates 1961-2004. [PDF]
This paper generalizes the standard homoscedastic macro-finance model by allowing for stochastic volatility, using the ‘square root’ specification of the mainstreamfinance literature.
Peter Spencer
core
Explicit implied volatilities for multifactor local-stochastic volatility models [PDF]
arXiv, 2013 We consider an asset whose risk-neutral dynamics are described by a general class of local-stochastic volatility models and derive a family of asymptotic expansions for European-style option prices and implied volatilities. Our implied volatility expansions are explicit; they do not require any special functions nor do they require numerical ...
arxiv
The Calibration of Some Stochastic Volatility Models Used in Mathematical Finance
Open Journal of Applied Sciences, 2014 Stochastic volatility models are used in mathematical finance to describe the dynamics of asset prices. In these models, the asset price is modeled as a stochastic process depending on time implicitly defined by a stochastic differential Equation.
Lorella Fatone +3 more
openaire +6 more sources
10 Years Development of Potassium‐Ion Batteries
Advanced Materials, EarlyView.Significant progress is made in PIBs over the past decade, but the improvements based on half‐cell testing, low mass loading, and low energy density are insufficient for practical applications. This review summarizes the challenges and strategies for PIBs, highlights the importance of further research focusing on full cells, and provides an analysis of
Mingnan Li +7 more
wiley +1 more source
The Information Content of Corridor Volatility Measures During Calm and Turmoil Periods
Quantitative Finance and Economics, 2017 Measurement of volatility is of paramount importance in finance because of the effects on risk measurement and risk management. Corridor implied volatility measures allow us to disentangle the volatility of positive returns from that of negative returns,
Elyas Elyasiani +2 more
doaj +1 more source
Responsive Molecules for Organic Neuromorphic Devices: Harnessing Memory Diversification
Advanced Materials, EarlyView.Responsive molecules are essential for organic in‐sensor computing devices. This Review highlights recent advances in thedesign, synthesis, and incorporation of electrically, optically, and magnetically responsive molecules in multifunctional synaptic perception devices endowedwith both nonvolatile and volatile memory diversification. By exploiting the
Yusheng Chen +4 more
wiley +1 more source
A Remark on Approximation of the Solutions to Partial Differential Equations in Finance [PDF]
This paper proposes a general approximation method for the solution to a second-order parabolic partial differential equation(PDE) widely used in finance through an extension of LLeandrefs approach(LLeandre (2006,2008)) and the Bismut identiy(e.g ...
Akihiko Takahashi, Toshihiro Yamada
core +3 more sources
Social sector expenditures and rainy-day funds [PDF]
Gonzalez and Paqueo examine the effects of budget stabilization funds--often called rainy-day funds--on the volatility of social spending and, for contrast, on nonsocial sector spending. They analyze the rainy-day funds of U.S. states.
Gonzalez, Christian Y. +1 more
core
Volatility Inference and Return Dependencies in Stochastic Volatility Models [PDF]
arXiv, 2016 Stochastic volatility models describe stock returns $r_t$ as driven by an unobserved process capturing the random dynamics of volatility $v_t$. The present paper quantifies how much information about volatility $v_t$ and future stock returns can be inferred from past returns in stochastic volatility models in terms of Shannon's mutual information.
arxiv
Advanced Materials, EarlyView.Smart windows with anti‐UV, fast‐response, and thermally stable characteristics for all‐day modulation are crafted, demonstrating appealing stability and durability for practical building energy‐saving applications. Abstract Thermochromic smart windows offer energy‐saving potential through temperature‐responsive optical transmittance adjustments, yet ...
Kai Wang +9 more
wiley +1 more source