Results 41 to 50 of about 29,458 (274)

Speculators, prices and market volatility [PDF]

, 2015
We analyze data from 2005 through 2009 that uniquely identify categories of traders to assess how speculators such as hedge funds and swap dealers relate to volatility and price changes. Examining various subperiods where price trends are strong, we find
Brunetti, Celso, Büyükşahin, Bahattin, Harris, Jeffrey   +2 more
core   +1 more source

Effectiveness of Central Bank Swap Lines in Alleviating the Mispricing of FX Swaps at the Start of the COVID-19 Pandemic

Applied Finance Letters
At the start of the COVID-19 pandemic the increased market volatility and risk aversion led to a deterioration of U.S. Dollar funding conditions in the Euro Area.
Patty Duijm, Kai Schellekens
doaj   +1 more source

A Closed-Form Pricing Formula for Log-Return Variance Swaps under Stochastic Volatility and Stochastic Interest Rate

Mathematics, 2021
At present, the study concerning pricing variance swaps under CIR the (Cox–Ingersoll–Ross)–Heston hybrid model has achieved many results; however, due to the instantaneous interest rate and instantaneous volatility in the model following the Feller ...
Chen Mao, Guanqi Liu, Yuwen Wang
doaj   +1 more source

Al–Cu Composite Casting of Laser‐Deoxidized Copper: Bonding, Interfacial Chemistry, and Thermal Conductivity

Advanced Engineering Materials, EarlyView.
This study investigates laser‐based oxide removal of Cu inserts in oxygen‐free conditions and examines long‐term oxidation kinetics and surface chemistry under different atmospheres via X‐ray photoelectron spectroscopy. Al–Cu compound casting with differently oxidized surfaces is performed, and intermetallic phase formation, morphology, and thermal ...
Timon Steinhoff, Finn‐Lennard Janthur, Sascha Zimmermann, Sarah Seffer, Jörg Hermsdorf, René Gustus, Ludger Overmeyer, Wolfgang Maus‐Friedrichs, Hans Jürgen Maier, Christian Klose   +9 more
wiley   +1 more source

On the pricing and hedging of volatility derivatives [PDF]

, 2003
We consider the pricing of a range of volatility derivatives, including volatility and variance swaps and swaptions. Under risk-neutral valuation we provide closed-form formulae for volatility-average and variance swaps for a variety of diffusion and ...
Howison, Sam, Rafailidis, Avraam, Rasmussen, Henrik   +2 more
core   +2 more sources

Encyclopedia of 2D β′‐In2Se3 Growth Using Chemical Vapor Deposition: The Effects of Synthesis Parameters Onto Material Quality

Advanced Engineering Materials, EarlyView.
A distinct semi‐confined inner‐tube chemical vapor deposition geometry enables reproducible, large‐area growth of phase‐pure 2D β′‐In2Se3 from InI + Se precursors. Engineering local vapor transport and optimizing precursor delivery and temperature–time conditions yield uniform continuous films.
Dasun P. W. Guruge, P. Sanju S. Panawala, Joseph F. S. Fernando, Zhenhuan Chen, Chao Zhang, Dong‐Chen Qi, Liangzhi Kou, Konstantin L. Firestein, Dmitri V. Golberg   +8 more
wiley   +1 more source

Is There a Connection between Sovereign CDS Spreads and the Stock Market? Evidence for European and US Returns and Volatilities

Mathematics, 2020
This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over the period 2004–2016.
Laura Ballester, Ana González-Urteaga
doaj   +1 more source

What are the macroeconomic drivers of the asset returns of Turkish banks?

Technological and Economic Development of Economy, 2022
The aim of this paper is to investigate the effects of the macroeconomic factors to the movements of the asset returns of the banks in Turkey in terms of systemic risk from 2005 to 2018.
Zehra Civan, Gulhayat Golbasi Simsek, Utku Kubilay Çinar   +2 more
doaj   +1 more source

Photoswitchable Conductive Metal–Organic Frameworks

Advanced Functional Materials, EarlyView.
A conductive material where the conductivity can be modulated remotely by irradiation with light is presented. It is based on films of conductive metal–organic framework type Cu3(HHTP)2 with embedded photochromic molecules such as azobenzene, diarylethene, spiropyran, and hexaarylbiimidazole in the pores.
Yidong Liu, Mersad Mostaghimi, Abhinav Chandresh, Saibal Jana, Wolfgang Wenzel, Lars Heinke   +5 more
wiley   +1 more source

Moment Methods for Exotic Volatility Derivatives [PDF]

, 2007
The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price realized variance and sojourn times along bridges for the underlying stock price process.
Albanese, Claudio, Osseiran, Adel
core   +2 more sources