Results 121 to 130 of about 237,321 (276)
Stochastic volatility, smile & asymptotics
We consider the pricing and hedging problem for options on stocks whose volatility is a random process. Traditional approaches, such as that of Hull and White, have been successful in accounting for the much observed smile curve, and the success of a ...
K. Ronnie Sircar, George Papanicolaou
core +1 more source
Genomic variation drives plant flavor diversification
Journal of Integrative Plant Biology, EarlyView.This review explains how genomic variation shapes plant flavor by altering the biosynthetic and regulatory pathways of key attributes like sweetness, acidity, bitterness, piquancy, astringency, and aroma. It also discusses how multi‐omics, AI‐assisted breeding, and gene editing can translate this knowledge into plants with improved flavor, nutrition ...
Huimin Hu +5 more
wiley +1 more source
Practice-relevant model validation: distributional parameter risk analysis in financial model risk management. [PDF]
Ann Oper Res, 2022 Cummins M +4 more
europepmc +1 more source
Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility [PDF]
his paper addresses the problem of uncertainty in volatility, and how this affects option prices. The volatility uncertainty adjustment to Black-Scholes option prices is quantified in this paper using a normal mixture model for the distribution of ...
Carol Alexander, Sujit Narayanan
core
Journal of Money, Credit and Banking, EarlyView.Abstract Using confidential daily data, we examine the Bank of Israel's foreign exchange interventions from 2013 to 2019. We find that a 1 billion U.S. dollars (USD) purchase leads to a 0.82% depreciation of the Israeli Shekel (ILS)–a strong effect compared to other studies.
MARKUS HERTRICH, DANIEL NATHAN
wiley +1 more source
The function and impact of cryptocurrency and data technology in the context of financial technology: introduction to the issue. [PDF]
Financ Innov, 2021 Zhao L.
europepmc +1 more source
The Capital–Labour–State Dynamics of Herbicide Adoption in Rainfed India
Journal of Agrarian Change, EarlyView.ABSTRACT This paper engages debates around the capital–labour–state dynamics of agrarian transitions to address the oft‐studied but still little‐understood question of why farmers adopt herbicides when they do. Over the last several years, smallholder farmers in India have begun using the herbicide bispyribac sodium at breakneck speeds, particularly in
Carly Nichols, Nidhi Kumari
wiley +1 more source
Government size and output volatility: is there a relationship? [PDF]
This paper provides some further tests for the proposition that a larger public sector leads to smaller output volatility. Both Gali and Fatas & Mihov have provided some evidence which appears to support this proposition.
Matti Virén
core +2 more sources
Implied value-at-risk and model-free simulation. [PDF]
Ann Oper Res, 2022 Bernard C, Perchiazzo A, Vanduffel S.
europepmc +1 more source
Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models [PDF]
In the paper, we consider the Box-Cox transformation of financial time series in Stochastic Volatility models. Bayesian approach is applied to make inference about the Box-Cox transformation parameter (l).
Anna Pajor
core