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MathematicsImplied volatility is known to have a string structure (smile curve) for a given time to maturity and can be captured by the B-spline. The parameters characterizing the curves can change over time, which complicates the modeling of the implied volatility
Zihao Chen, Yuyang Li, Cindy Long Yu
doaj +1 more source
Erving Goffman at 100: A Chameleon Seen as a Rorschach Test within a Kaleidoscope
Symbolic Interaction, EarlyView.The 100th anniversary of Erving Goffman's birth was in 2022. Drawing on his work, the Goffman archives, the secondary literature, and personal experiences with him and those in his university of Chicago cohort, I reflect on some implications of his work and life, and the inseparable issues of understanding society.
Gary T. Marx
wiley +1 more source
Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model [PDF]
This paper extends the normal mixture diffusion (NMD) local volatility model of Brigo and Mercurio (2000, 2001a,b, 2002) so that it explains both short-term and long-term smile effects.
Carol Alexander
core
Symbolic Interaction, EarlyView.This article introduces the concept of excluded participation to examine how inclusion and exclusion are negotiated in real time within a Danish fifth‐grade classroom. Using a micro‐sociological framework, particularly the work of Erving Goffman, the study focuses on the case of Anders, a student whose participation is symbolically recognized yet ...
Jørn Bjerre
wiley +1 more source
TESOL Quarterly, EarlyView.Abstract This classroom‐based exploratory study examined the relationships between affective, social, and cognitive aspects of second language (L2) learners' task‐based performance. In responding to practical challenges when TBLT is implemented in the real‐world context, we collected observational data from multiple sources.
Masatoshi Sato +3 more
wiley +1 more source
FX volatility smile construction [PDF]
The foreign exchange options market is one of the largest and most liquid OTC derivative markets in the world. Surprisingly, very little is known in the academic literature about the construction of the most important object in this market: The implied ...
Reiswich, Dimitri, Wystup, Uwe
core
FX volatility smile construction [PDF]
, 2009 The foreign exchange options market is one of the largest and most liquid OTC derivative markets in the world. Surprisingly, very little is known in the academic literature about the construction of the most important object in this market: The implied ...
Reiswich, Dimitri, Wystup, Uwe
core
Thunderbird International Business Review, EarlyView.ABSTRACT The field of Environmental Social Governance (ESG) investment has witnessed significant growth in recent decades, driven by the widespread adoption of “carbon neutral” efforts by most nations. Industry would prioritize ESG in a global context characterized by significant uncertainty.
Ashutosh Yadav +4 more
wiley +1 more source
Smiling under stochastic volatility [PDF]
This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result of the paper is to extend previous
León, Angel, Rubio Irigoyen, Gonzalo
core
Journal of the Royal Anthropological Institute, EarlyView.Politics requires collective deliberation, but what happens when people cannot agree on how to deliberate? Anthropologists and other social scientists have urged us to look beyond the hegemonic liberal ideal of public reason, in order to recognize a plurality of publics, each held together by distinctive forms of reason.
Farhan Samanani
wiley +1 more source