Results 41 to 50 of about 14,628 (253)
On refined volatility smile expansion in the Heston model [PDF]
Quantitative Finance, 2011 It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s_+$ can be obtained by solving (numerically) a simple equation. This yields a leading order expansion for the implied volatility at large strikes: $ _{BS}( k,T)^{2}T\sim (s_+-1) \times k$ (Roger Lee's moment formula).
P. Friz +3 more
openaire +3 more sources
From characteristic functions to implied volatility expansions [PDF]
, 2014 For any strictly positive martingale $S = \exp(X)$ for which $X$ has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials in the log ...
Jacquier, Antoine, Lorig, Matthew
core +1 more source
Volatility Smile Interpolation Model
, 2022 Options priced by the Black-Scholes formula are quoted on the market by implied volatility. In other words, to price an interest rate European option, one needs to know forward rate, the strike level and volatility along with the discount rate. However, the market trading history has shown that it is not perfect to trade options solely based on the ...
openaire +3 more sources
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
wiley +1 more source
Infrared‐Driven Polymer Intelligence
Advanced Intelligent Systems, EarlyView.Infrared spectroscopy is combined with machine learning to accurately predict the glass transition temperature of polymers and enable real‐time process control. The approach outperforms traditional molecular fingerprints by capturing subtle spectral variations due to impurities and additives.
Gorkem Anil Al +4 more
wiley +1 more source
Maturity and volatility effects on UK smiles [PDF]
Portuguese Economic Journal, 2003 The “smile effect” is a result of an empirical observation of the options’ implied volatility with the same expiration date, across different exercise prices. However, its shape has been under discussion seeming to be dependent on the option underlying security.
Patrícia Teixeira Lopes, João Duque
openaire +2 more sources
Chemistry &Biodiversity, EarlyView.The chemical analysis of aerial parts of the melliferous Viguiera dentata led to the isolation of 20 substances, including the new cycloartanes 24‐epi‐argentatin C, 7β‐hydroxy‐24‐epi‐argentatin C, 7β‐hydroxy‐argentatin B. In‐combo results indicated that specific argentatins and ent‐kaurenoic acids have the potential to control Spodoptera frugiperda ...
Amira Arciniegas +8 more
wiley +1 more source
ChemSusChem, Volume 18, Issue 6, March 15, 2025.Novel organic solvents with an unmodified carbohydrate core were synthesised both from D‐xylose and directly from biomass and were successfully used as reaction media for lipase biocatalysts to synthesise aliphatic and aromatic polyesters. Abstract The use of organic solvents in academic research and industry applications is facing increasing ...
Anastasia O. Komarova +8 more
wiley +1 more source
Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning
Journal of Finance and Data Science, 2021 The VSTOXX index tracks the expected 30-day volatility of the EURO STOXX 50 equity index. Futures on the VSTOXX index can, therefore, be used to hedge against economic uncertainty.
Daniel Guterding
doaj
ELECTROPHORESIS, EarlyView.ABSTRACT We present the coupling of capillary electrophoresis to a custom‐built high‐resolution ion mobility spectrometer (IMS). This system integrates a shifted inlet potential IMS configuration with a customised nanoflow ESI sheath interface. It enables the rapid analysis of quaternary ammonium compounds (QACs) and their impurities in real‐world ...
Klaus Welters +5 more
wiley +1 more source