Results 51 to 60 of about 15,192 (232)
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
Machine Learning Approaches for GC–MS Data Interpretation in Flavour and Fragrance Analysis
Flavour and Fragrance Journal, EarlyView.The review explores machine learning integration in GC‐MS data analysis for the fragrance and flavour industry, highlighting recent advances and techniques in a context constrained by data scarcity and intellectual property concerns. ABSTRACT This review explores the integration of machine learning (ML) in the analysis of mass spectrometry data ...
Jean‐Baptiste Coffin +3 more
wiley +1 more source
Improving Implied Volatility Forecasts for American Options Using Neural Networks
Journal of Futures Markets, EarlyView.ABSTRACT This paper explores the application of neural networks to improve pricing of American options. Focusing on both American and European options on the S&P 100 index from January 2016 to August 2023, we integrate neural networks to model the difference between market‐implied and model‐implied volatilities derived from the Black‐Scholes and Heston
Haitong Jiang, Emese Lazar, Miriam Marra
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
Journal of Organizational Behavior, EarlyView.ABSTRACT Bystander intervention is widely assumed to foster workplace inclusion, yet no studies have directly examined this relationship. Through abductive qualitative analysis of 53 interviews across two contrasting organisations—a consulting firm and a remote mine site—we investigate how bystander intervention relates to workplace inclusion for ...
Laura Jennings +4 more
wiley +1 more source
Pest Management Science, EarlyView.Metabolism‐based atrazine‐resistant Amaranthus tuberculatus populations ACR and MCR exhibit little or no cross‐resistance to amicarbazone and metribuzin, suggesting that non‐halogenated Group 5 herbicides can be utilized to re‐establish effective control.
Alexander J Lopez +5 more
wiley +1 more source
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
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
The Forward Smile in Local-Stochastic Volatility Models
SSRN Electronic Journal, 2015 We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path-dependent options, as cliquets.
MAZZON, ANDREA, PASCUCCI, ANDREA
openaire +4 more sources
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