Results 21 to 30 of about 567,721 (234)
Extension of SABR Libor Market Model to handle negative interest rates
Quantitative Finance and Economics, 2020 Variations of Libor Market Model (LMM), including Constant Elasticity of Variance-LMM (CEV-LMM) and Stochastic Alpha-Beta-Rho LMM (SABR-LMM), have become popular for modeling interest rate term structure.
Jie Xiong, Geng Deng, Xindong Wang
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Approaches to forecasing option volatility
Вестник Российского экономического университета имени Г. В. Плеханова, 2018 The article investigates a new approach to the idea of volatility. In spite of the well-known assumption that option volatility in future will be exactly the same as today, the author puts forward a method, which links the change in volatility to change ...
A. V. Azatskiy
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Option Pricing under the Jump Diffusion and Multifactor Stochastic Processes
Journal of Function Spaces, 2019 In financial markets, there exists long-observed feature of the implied volatility surface such as volatility smile and skew. Stochastic volatility models are commonly used to model this financial phenomenon more accurately compared with the conventional
Shican Liu +3 more
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A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility
Fractal and Fractional, 2017 In the option pricing literature, it is well known that (i) the decrease in the smile amplitude is much slower than the standard stochastic volatility models and (ii) the term structure of the at-the-money volatility skew is approximated by a power-law ...
Hideharu Funahashi, Masaaki Kijima
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Bayesian Option Pricing Framework with Stochastic Volatility for FX Data
Risks, 2016 The application of stochastic volatility (SV) models in the option pricing literature usually assumes that the market has sufficient option data to calibrate the model’s risk-neutral parameters.
Ying Wang +2 more
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PENGARUH SKEWNESS DAN KURTOSIS DALAM MODEL VALUASI OBLIGASI
Media Statistika, 2018 The Gram-Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in finance as a generalization of the normal density. Non-normal skewness and kurtosis of underlying asset of bond issuer company are significantly
Abdurakhman Abdurakhman +1 more
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Interpretability in deep learning for finance: A case study for the Heston model
Risk SciencesDeep learning is a powerful tool whose applications in quantitative finance are growing every day. Yet, artificial neural networks behave as black boxes, and this introduces risks, hindering validation and accountability processes.
Damiano Brigo +3 more
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How to Manufacture Photonic Metamaterials
Advanced Materials Technologies, EarlyView.Metamaterials boast applications such as invisibility and “hyperlenses” with resolution beyond the diffraction limit, but these applications haven’t been exploited in earnest and the market for them hasn’t grown much likely because facile and economical methods for fabricating them without defect has not emerged.
Apurba Paul, Gregory Timp
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, 2016 In the present paper we perform a comparison between the standard Black and Scholes model and the Merton jump-diffusion one, from the point of view of the study of the leptokurtic feature of log-returns and also concerning the volatility smile fitting ...
Nicola Gugole
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Self‐Sterilizing Face Mask Employing Enzymatic Power Generation
Advanced Materials Technologies, EarlyView.Electric face mask with flexible biofuel cell integration for on‐the‐go sterilization is developed utilizing ethanol oxidation via alcohol dehydrogenase, and oxygen reduction via bilirubin oxidase. Modified face mask exhibited bacterial death rates of 40–60% at only 20 µA of electric current, easily generated by the biofuel cell continuously over hours
Daniella Marie Gatus +3 more
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