Results 271 to 280 of about 230,659 (313)

Correlation of Income Instability With 12 Non-Communicable Disease Risks in Korea: A Prospective Cohort Study. [PDF]

J Korean Med Sci
Cho J, Son Y, Kim S, Park J, Lee K, Jo H, Kim TH, Lee H, Lee S, Oh J, Cho H, Woo HG, Pizzol D, Woo S, Yon DK.   +14 more
europepmc   +1 more source

Ketamine and Psilocybin Differentially Impact Sensory Learning During the Mismatch Negativity

Allohverdi SG, Soltanzadeh M, Schmidt A, Charlton CE, Hauke DJ, Karvelis P, Vollenweider FX, Diaconescu AO.   +7 more
europepmc   +1 more source

Non-parametric Causal Discovery for EU Allowances Returns Through the Information Imbalance

Salvagnin C, Tatto Vd, De Giuli ME, Mira A, Glielmo A.   +4 more
europepmc   +1 more source

HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS [PDF]

International Journal of Theoretical and Applied Finance, 2007
In this paper we focus on the performance of volatility options as hedging instruments for hedging volatility risk. We investigate (a) the relative hedging performance of volatility and European options, (b) the relative hedging performance of volatility index and straddle options, and (c) the impact of model misspecification on hedging effectiveness.
YUNBI AN, ATA ASSAF, JUN YANG
openaire   +2 more sources

Some of the next articles are maybe not open access.

Related searches:

Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects

SSRN Electronic Journal, 2018
Abstract Predicting volatility is of primary importance for business applications in risk management, asset allocation, and the pricing of derivative instruments. This paper proposes a measurement model that considers the possibly time-varying interaction of realized volatility and asset returns according to a bivariate model to capture its major ...
Catania, L, Proietti, T
openaire   +3 more sources

ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

Mathematical Finance, 2010
Using an expansion of the transition density function of a one‐dimensional time inhomogeneous diffusion, we obtain the first‐ and second‐order terms in the short time asymptotics of European call option prices. The method described can be generalized to any order.
J. Gatheral, E. Hsu, LAURENCE, Peter Michael, Cheng Ouyang, T.H. Wang   +4 more
openaire   +2 more sources

Variance Swaps Under Multiscale Stochastic Volatility of Volatility

Methodology and Computing in Applied Probability, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Min-Ku Lee, See-Woo Kim, Jeong-Hoon Kim
openaire   +2 more sources

Volatility of volatility is (also) rough

Journal of Futures Markets, 2019
AbstractUsing high‐frequency data for major volatility indexes, we compute the volatility of volatility and show that its logarithm follows a fractional Brownian motion with Hurst parameter smaller than 1/2 thereby extending to the volatility asset class the recent findings obtained for the equity index markets.
José Da Fonseca, Wenjun Zhang
openaire   +1 more source

Stochastic Volatility of Volatility and Variance Risk Premia

SSRN Electronic Journal, 2011
This article introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility (SVV): Volatility modulated non-Gaussian Ornstein--Uhlenbeck (VMOU) processes. Various probabilistic properties of (integrated) VMOU processes are presented.
Barndorff-nielsen, O.E., Veraart, A.E.D.
openaire   +3 more sources