Results 61 to 70 of about 15,192 (232)

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
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Defence traits vary across leaf ages in the thistles (Cardueae)

Functional Ecology, EarlyView.
Read the free Plain Language Summary for this article on the Journal blog. Abstract Plants produce a variety of structural and chemical defences to deter herbivores, which can covary across every scale of biological organization. Along these lines, it has been suggested that young leaves differ from old leaves in their defence strategies, but studies ...
Miranda A. Sinnott‐Armstrong, Jaein Choi, Nathanael I. Lichti, Bruce R. Cooper, Miranda C. Desmangles, Nicholas A. Steeves, Chingyan Huang, Albert M. Quigley, Yingying Xie, Daniel S. Park   +9 more
wiley   +1 more source

Boredom, despondency, and the scourge that lays waste at noon: an anthropology of acedia Ennui, abattement et le fléau qui frappe à midi : une anthropologie de l'acédie

Journal of the Royal Anthropological Institute, EarlyView.
Attentive to the ways that inertia can take hold of life, Catholic monks recognize despondency as a potential not only within the monastery, but in contemporary society more widely. Such experiences are regularly mapped onto an understanding of what early Christian monks termed ‘acedia’ (a Greek term that can be translated as ‘lack of care’). Taking as
Richard D.G. Irvine
wiley   +1 more source

Price dynamics and volatility jumps in bitcoin options

Financial Innovation
In the FinTech era, we contribute to the literature by studying the pricing of Bitcoin options, which is timely and important given that both Nasdaq and the CME Group have started to launch a variety of Bitcoin derivatives.
Kuo Shing Chen, J. Jimmy Yang
doaj   +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
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Testing Option Pricing with the Edgeworth Expansion

, 2004
There is a well developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options.
Black, Borland, Borland, Bouchaud, Bouchaud, Bouchaud, Hall, Jarrow, Johnson, Rogerio Rosenfeld, Ruy Gabriel Balieiro Filho   +10 more
core   +1 more source

Enjoyment and perceived teacher conflict shape early L2 English performance: A longitudinal study in primary school

British Journal of Educational Psychology, EarlyView.
Abstract Background Learning English as a second language (L2) is crucial in a globalized world. However, longitudinal evidence on how young learners' achievement emotions and perceived teacher–child relationship quality jointly shape L2 outcomes remains limited.
Fabiola Silletti, Gabrielle Coppola, Cristina Semeraro, Rosalinda Cassibba, Paola Palladino, Matteo Gatti, Pasquale Musso   +6 more
wiley   +1 more source

Distributions Implied by Exchange Traded Options: A Ghost’s Smile? [PDF]

A new and easily applicable method for estimating risk neutral distributions (RND) implied by American futures options is proposed. It amounts to inverting the Barone-Adesi and Whaley method (1987) (BAW method) to get the BAW-implied volatility smile ...
Martin Cincibuch
core  

Modelling FX smile : from stochastic volatility to skewness [PDF]

, 2007
Imperial Users ...
Luo , Lin, Luo , Lin
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