Results 41 to 50 of about 598,007 (315)

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, Di Asih I Maruddani   +1 more
doaj   +1 more source

Interpretability in deep learning for finance: A case study for the Heston model

Risk Sciences
Deep 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, Xiaoshan Huang, Andrea Pallavicini, Haitz Sáez de Ocáriz Borde   +3 more
doaj   +1 more source

On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile

Journal of Applied Mathematics, 2005
We analyse a model for pricing derivative securities in the presence of both transaction costs as well as the risk from a volatile portfolio. The model is based on the Black-Scholes parabolic PDE in which transaction costs are described following the ...
Martin Jandačka, Daniel Ševčovič
doaj   +1 more source

The First Review on Nano‐Agricultural Applications of MXene and MBene‐Based Materials for Plant‐Immunoengineering, Controlled Protection, and Inducing Biostimulation Mechanisms

Advanced Materials, EarlyView.
MXene and MBene nanomaterials show significant potential in addressing critical challenges in biomedicine, applied biology, agriculture, and the environment. From a nano‐agricultural perspective, this relatively young field has witnessed emerging advances towards applications for plant‐immunoengineering, biostimulation, and controlled delivery ...
Alireza Rafieerad, Ahmad Amiri, Maik Böhmer, Soofia Khanahmadi   +3 more
wiley   +1 more source

Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model

, 2010
Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the strike price, K, and the distribution function of the ...
B. Dupire, E. Derman, F. Black, F. Borgonovi, G. Brown, G. P. Berman, J. Campa, J. Jackwerth, J.C. Jackwerth, K. Toft, L. Spadafora, M. Rubinstein, M.R. Fengler, N. Kahale, P. Gopikrishnan, R. Tompkins, T. Herwing, V.F. Pisarenko, Y. Ait-Sahalia   +18 more
core   +2 more sources

Machine Learning for Green Solvents: Assessment, Selection and Substitution

Advanced Science, EarlyView.
Environmental regulations have intensified demand for green solvents, but discovery is limited by Solvent Selection Guides (SSGs) that quantify solvent sustainability. Training a machine learning model on GlaxoSmithKline SSG, a database of sustainability metrics for 10,189 solvents, GreenSolventDB is developed. Integrated with Hansen solubility metrics,
Rohan Datta, Janhavi Nistane, Abhishek Sose, Harikrishna Sahu, Rampi Ramprasad   +4 more
wiley   +1 more source

A Microfiber‐Reinforced Janus Hydrogel E‐Skin With Recyclable Feature for Multimodal Sensing and Gender‐Specific Physiological Monitoring

Advanced Science, EarlyView.
Hydrogel‐based wearable electronics hold great promise for physiological monitoring in privacy‐sensitive regions. In this study, a polyurethane (PU) microfiber‐reinforced gelatin hydrogel e‐skin is developed, boasting multiple advantages such as ultra‐thinness, high toughness, and long‐term skin conformability.
Yarong Ding, Yufeng Li, Shaozhe Tan, Jiachun Sun, Xu Yang, Xuesi Zhang, Zhenhua Lin, Zhenyu Li, Yue Hao, Yannan Liu, Yingchun Li, Jingjing Chang   +11 more
wiley   +1 more source

Screen ammonium‐based deep eutectic solvents for CO2 capture: Extended UNIFAC‐DES, calibrated COSMO‐RS, and experiment

AIChE Journal, EarlyView.
Abstract CO2 solubility in deep eutectic solvent (DES) is a critical property to indicate the competence of using DESs for carbon capture. This work presents a systematic screening framework with computational and experimental procedures to identify the promising ammonium‐based DESs for CO2 absorption.
Hao Qin, Xiang Zhang, Jiawei Ruan, Kai Sundmacher   +3 more
wiley   +1 more source

On the Curvature of the Smile in Stochastic Volatility Models

SIAM Journal on Financial Mathematics, 2017
The first author was supported by grants ECO2014-59885-P and MTM2016-76420-P (MINECO/FEDER, UE). The second author was supported by CONACyT grant 220303.
Alòs, Elisa, León, Jorge A.
openaire   +3 more sources

Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market [PDF]

, 2010
In this paper we examine the importance of mean reversion and spikes in the stochastic behaviour of the underlying asset when pricing options on power.
Bessembinder, Black, Branger, Carr, Cerny, Chacko, Clewlow, Dai, Das, Duffie, Elliott, Escribano, Ethier, Geman, Geman, Glasserman, Heston, Huisman, Longstaff, Lucia, Merton, Merton, Nikos K. Nomikos, Nomikos, Orestes A. Soldatos, Rebonato, Samuleson, Schwartz, Vasicek, Villaplana, Weron   +30 more
core   +1 more source