Results 101 to 110 of about 29,458 (274)

Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model [PDF]

We present a two-factor stochastic default intensity and interest rate model for pricing single-name default swaptions. The specific positive square root processes considered fall in the relatively tractable class of affine jump diffusions while allowing
Damiano Brigo, Naoufel El-Bachir
core  

Measuring and managing the credit exposure of derivatives portfolios [PDF]

, 2009
CONCLUSION The analysis of the exposure measurement problem has shown that the proper measurement of counterparty exposure for portfolios of derivatives transactions is a complex task that cannot be performed without making a lot of simplifying ...
Wahrenburg, Mark
core  

Bioinspired Adaptive Sensors: A Review on Current Developments in Theory and Application

Advanced Materials, EarlyView.
This review comprehensively summarizes the recent progress in the design and fabrication of sensory‐adaptation‐inspired devices and highlights their valuable applications in electronic skin, wearable electronics, and machine vision. The existing challenges and future directions are addressed in aspects such as device performance optimization ...
Guodong Gong, You Zhou, Qingxiu Li, Wenyu Zhao, Sunyingyue Geng, Hangfei Li, Yan‐Bing Leng, Shirui Zhu, Guanglong Ding, Yongbiao Zhai, Ziyu Lv, Ye Zhou, Su‐Ting Han   +12 more
wiley   +1 more source

A Consistent Pricing Model for Index Options and Volatility Derivatives [PDF]

We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently.
Cont, Rama, Kokholm, Thomas
core  

Strain Engineering of Magnetoresistance and Magnetic Anisotropy in CrSBr

Advanced Materials, EarlyView.
Biaxial compressive strain significantly enhances magnetoresistance and critical saturation fields in thin flakes of the 2D magnet CrSBr, along all three crystallographic axes. First‐principles calculations link these effects to strain‐induced increases in exchange interactions and magnetic anisotropy.
Eudomar Henríquez‐Guerra, Alberto M. Ruiz, Marta Galbiati, Álvaro Cortés‐Flores, Daniel Brown, Esteban Zamora‐Amo, Lisa Almonte, Andrei Shumilin, Juan Salvador‐Sánchez, Ana Pérez‐Rodríguez, Iñaki Orue, Andrés Cantarero, Andres Castellanos‐Gomez, Federico Mompeán, Mar Garcia‐Hernandez, Efrén Navarro‐Moratalla, Enrique Diez, Mario Amado, José J. Baldoví, M. Reyes Calvo   +19 more
wiley   +1 more source

Solvent‐Free Thermal Defect Engineering in Molecular Frameworks With Volatile Linkers

Advanced Materials, EarlyView.
Thermal removal of neutral volatile linkers enables precise and solvent‐free generation of metal vacancies in MOFs. This strategy affords redox‐stable, coordinatively unsaturated FeII sites with tunable spin, ligand coordination, and catalytic behavior. The approach offers a general route to design defect‐functional materials through local coordination
Sonia Martínez‐Giménez, Alejandro Orellana‐Silla, Marta Galbiati, Efrén Navarro‐Moratalla, Luca Braglia, Sara Stolfi, José Antonio Real, Víctor Rubio‐Giménez, Sergio Tatay, Carlos Martí‐Gastaldo   +9 more
wiley   +1 more source

The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk [PDF]

, 2011
By investigating the determinants of CDS spreads on European contracts before and after the recent crisis we observe significant differences in the explanatory power of market and firm-specific variables.
Kapar, B., Olmo, J.
core  

Atomistic Mechanisms Triggered by Joule Heating Effects in Metallic Cu‐Bi Nanowires for Spintronics

Advanced Materials, EarlyView.
Bi doped metallic Cu nanowires are promising for spintronics thanks to the stabilization of a giant spin Hall effect. However, heat resulting from current injection forces Bi to leave solution, forcing segregation into monoatomic decorations which evolve into coherent crystalline aggregates.
Alejandra Guedeja‐Marrón, Juan Ignacio Beltrán, Matilde Saura‐Múzquiz, Paolo Perna, M. Carmen Muñoz, Lucas Pérez, Maria Varela   +6 more
wiley   +1 more source

Sovereign Credit Default Swap Market Volatility in BRICS Countries Before and During the COVID-19 Pandemic

Scientific Annals of Economics and Business
SCDS (Sovereign Credit Default Swaps) are becoming more widely used as a country risk indicator after 2008 and stand out for providing real-time information rather than periodic reporting.
Letife Özdemir, Simon Grima, Ercan Özen, Ramona Rupeika-Apoga, Inna Romanova   +4 more
doaj   +1 more source

A Unified Framework for Pricing Credit and Equity Derivatives

, 2008
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit bond and equity option pricing formulas that can be calibrated to find a ...
Bayraktar, Erhan, Yang, Bo
core   +1 more source