Results 111 to 120 of about 237,321 (276)
FX Smile in the Heston Model [PDF]
The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets.
Rafal Weron +3 more
core
Diabetic Medicine, EarlyView.Abstract Aims To identify and compare barriers and enablers influencing physical activity in adults and parent‐proxy responses for children with type 1 diabetes in the UK. Methods A cross sectional survey was distributed via BreakthroughT1D (formerly JDRF) networks between December 2022 and January 2023.
Emma J. Cockcroft +6 more
wiley +1 more source
Scientific Authorship Through the Lens of Parenthood
BJOG: An International Journal of Obstetrics &Gynaecology, EarlyView.
Pierpaolo Nicolì +3 more
wiley +1 more source
Defrosting humanism: Losing my ethical worldview in the wake of October 7th and Israel's retaliation
Ethos, EarlyView.Abstract This auto‐ethnographic analysis describes the loss of my ethical worldview and my attempts to regain it following the October 7th Hamas attack on Israel and the subsequent Israeli retaliation. On October 7th, I was unable to feel compassion for the people of Gaza or to take action against the Israeli retaliation, aspects that I used to see as ...
Yael Assor
wiley +1 more source
GARCH option pricing under skew. [PDF]
This article is an empirical study dedicated to the GARCH Option pricing model of Duan (1995) applied to the FTSE 100 European style options for various maturities.
Aboura, Sofiane
core
Unveiling Synergy Gains in Divestitures Using Options Market Information1
Journal of Business Finance &Accounting, EarlyView.ABSTRACT We use stock and options information to decompose and provide a practical measure of the market's beliefs about the different sources of value creation from divestitures. We find that divestitures generate economically significant synergy gains that exceed $1 billion for both acquirers and sellers.
Vinay Patel +2 more
wiley +1 more source
Given the importance of return volatility on a number of practical financial management decisions, the efforts to provide good real- time estimates and forecasts of current and future volatility have been extensive.
Torben G. Andersen, Luca Benzoni
core
Neurophysiological Methods in Accounting and Finance
Journal of International Financial Management &Accounting, EarlyView.ABSTRACT Recent advances in neuroscience have made neurophysiological methods increasingly accessible, creating a timely opportunity to rethink how accounting and financial decisions are studied. Yet accounting and finance research has been slow to exploit its full potential.
Gaia Bassani, Silvio Vismara
wiley +1 more source
Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation [PDF]
We extend the credit risk valuation framework introduced by Gatfaoui (2003) to stochastic volatility models. We state a general setting for valuing risky debt in the light of systematic risk and idiosyncratic risk, which are known to affect each risky ...
Gatfaoui Hayette
core