Results 51 to 60 of about 15,273 (231)

On refined volatility smile expansion in the Heston model [PDF]

, 2010
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.
Friz, P., Gerhold, S., Gulisashvili, A., Sturm, S.   +3 more
core   +6 more sources

From hydrogels to eutectogels: Emerging platforms for stretchable electronics

FlexMat, EarlyView.
The transition of wearable electronics toward long‐term reliability requires materials that resist dehydration without sacrificing tissue‐like softness and ionic conductivity. Eutectogels fulfill these demands by immobilizing deep eutectic solvents within tailored polymer networks.
Chang Zhou, Jiancheng Dong, Jiayu Hou, Shiyin Lin, Xingyu Liu, Hao Qiu, Mengting Zheng, Yuduo Zhang, Haijun Zhu, Kangjia Geng, Yidong Peng, Haoran Liu, Xu Zhang, Yunpeng Huang, Tianxi Liu   +14 more
wiley   +1 more source

Polymer informatics: Integrating data‐driven strategies, advanced machine learning, and automated synthesis for next‐generation polymer design

InfoScience, EarlyView.
Designing new polymers for applications such as sustainable plastics, biomaterials, and 3D printing has traditionally been slow and expensive, relying heavily on trial‐and‐error experiments. This review shows how polymer informatics—the integration of large polymer databases, machine‐learning models, and automated robotic synthesis—enables fast ...
Md. Saiful Islam, Tamanna Hoque, Junied Islam Shuvo, Sheta Roy Tori, Sadit Bihongo Malitha, Md. Zahangir Alam, A. M. Sarwaruddin Chowdhury   +6 more
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  

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

Bridging Bystander Intervention and Workplace Inclusion: The Critical Role of Perceived Fairness, Support, and Safety

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, Kun Zhao, Liam Smith, Denise Goodwin, Nicholas Faulkner   +4 more
wiley   +1 more source

Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? [PDF]

Using more than two years of daily interest rate cap price data, this paper provides a systematic documentation of a volatility smile in cap prices. We find that Black (1976) implied volatilities exhibit an asymmetric smile (sometimes called a sneer ...
Feng Zhao, Haitao Li, Robert Jarrow
core  

How Could I Have Served My Follower Better? A Counterfactual Thinking Intervention for Servant Leadership

Journal of Organizational Behavior, EarlyView.
ABSTRACT Evidence of the beneficial impacts of servant leadership, which prioritizes the fulfillment of followers' needs, abounds. However, we lack knowledge about how organizations can foster leaders to engage in servant leadership and cultivate its benefits.
Ui Young Sun, Robert C. Liden, Nathan Eva   +2 more
wiley   +1 more source

Error Traps in Pediatric Neuromuscular Block

Pediatric Anesthesia, EarlyView.
ABSTRACT Background Neuromuscular blocking agents are essential for safe pediatric anesthesia but remain a frequent source of preventable morbidity when misused, inadequately monitored, or incompletely reversed. Children, particularly neonates and infants, are especially vulnerable to residual neuromuscular block due to developmental pharmacological ...
Gabriel Soares de Sousa, Debra Faulk, Vinicius Caldeira Quintao, Niekoo Abbasian, Hans D. de Boer, Ricardo Vieira Carlos   +5 more
wiley   +1 more source

Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach [PDF]

In this paper we estimated a volatility model for COP/US under two different samples, one containing the information before the “discretional interventions” started, and the other using the whole sample.
Héctor Manuel Zárate, Juan Manuel Julio, Norberto Rodríguez   +2 more
core