Results 131 to 140 of about 237,321 (276)
The Evolution of Interest‐Rate Models: From the Yield Curve to the Swaption Cube
Journal of Economic Surveys, EarlyView.ABSTRACT Interest‐rate modelling is often taught as a catalogue of competing stochastic equations, obscuring why models were created and why modern sell‐side desks use several simultaneously. This survey reorganises the field around five layers of a pricing architecture: curve construction; arbitrage‐free dynamics; volatility‐smile representation ...
Xuan Feng +2 more
wiley +1 more source
A Note on Option Pricing with the Use of Discrete-Time Stochastic Volatility Processes [PDF]
In this paper we show that in the lognormal discrete-time stochastic volatility model with predictable conditional expected returns, the conditional expected value of the discounted payoff of a European call option is infinite. Our empirical illustration
Anna Pajor
core
Journal of Prosthodontics, EarlyView.Abstract This clinical report presents a comprehensive digital workflow for rehabilitating a patient with maxillary terminal dentition using a full‐arch, implant‐supported fixed dental prosthesis (FP‐1). It highlights the integration of a 3D‐printed polychromatic flangeless trial denture and a customized anatomic bone reduction template, enabling ...
Weiqing Liu +2 more
wiley +1 more source
Journal of Prosthodontics, EarlyView.Abstract Purpose This study evaluated the effects of high‐speed sintering on the translucency and color of various yttria‐stabilized zirconia (YSZ) compositions and identified factors influencing these properties to improve clinical predictability. Materials and Methods A total of 144 disc‐shaped specimens fabricated from 3YSZ, 4YSZ, and 5YSZ pucks in ...
Zidu Zeng +3 more
wiley +1 more source
A Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing [PDF]
Our goal is to identify the volatility function in Dupire's equation from given option prices. Following an optimal control approach in a Lagrangian framework, we propose a globalized sequential quadratic programming (SQP) algorithm with a modified ...
S. Volkwein +2 more
core
Robust Estimation and Inference for Time‐Varying Unconditional Volatility
Journal of Time Series Analysis, EarlyView.ABSTRACT We derive a general and robust estimator of a large class of parametric specifications of time‐varying unconditional volatility of financial returns, both univariate and multivariate, and establish the Consistency and Asymptotic Normality (CAN) of the estimator.
Adam Lee +2 more
wiley +1 more source
Corridor implied volatility and the variance risk premium in the Italian market [PDF]
Corridor implied volatility introduced in Carr and Madan (1998) and recently implemented in Andersen and Bondarenko (2007) is obtained from model-free implied volatility by truncating the integration domain between two barriers.
Silvia Muzzioli
core
On the Exact Limiting Distribution of a Volatility Target Index
Mathematical Finance, EarlyView.ABSTRACT Assuming a lognormal distribution for the underlying risky asset, we study the limiting distribution of a volatility target index as the rebalancing time step approaches zero. Two limit theorems (a strong law of large numbers and a central limit theorem) are established, and as an application, the exact limiting distribution is derived.
Xuan Liu, Michel Gauthier
wiley +1 more source
Pricing quanto options with market liquidity risk. [PDF]
PLoS One, 2023 Gao R, Bai Y.
europepmc +1 more source