Results 41 to 50 of about 616,096 (355)
Improving Quality of Long-Term Bond Price Prediction Using Artificial Neural Networks
Kvalita Inovácia Prosperita, 2021 Purpose: The aim of this paper is to propose nonlinear autoregressive neural network which can improve quality of bond price forecasting. Methodology/Approach: Due to the complex nature of market information that influence bonds, artificial ...
Robert Verner +2 more
doaj +1 more source
On the volatility of volatility [PDF]
, 2006 The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is calculated based on prices of out-of-the-money put and call options on the S&P 500 index (SPX). Sometimes called the "investor fear gauge," the VIX is a measure of the implied volatility
Black +3 more
core +2 more sources
Comparison of Model for Pricing Volatility Swaps [PDF]
SSRN Electronic Journal, 2013 The popularity of volatility derivatives has increased through these years of financial turmoil. In particular, variance and volatility swap seem interesting to analyse due to its growing trading volume. Hence, the aim of this work is to present a full revision of these two volatility derivatives, comparing pricing methodologies, like Taylor expansion ...
openaire +2 more sources
Discretely sampled variance and volatility swaps versus their continuous approximations [PDF]
Finance and Stochastics, 2012 Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computations. The purpose of this paper is to study the conditions under which this
R. Jarrow +3 more
semanticscholar +2 more sources
Spectral methods for volatility derivatives [PDF]
, 2009 In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, options on its implied volatility index (VIX).
Albanese, Claudio +2 more
core +2 more sources
Effect of Variance Swap in Hedging Volatility Risk [PDF]
Risks, 2020 This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston’s stochastic volatility model. In the first problem, the financial market is complete and contains three primitive assets: a bank account, a stock and a variance swap, where
openaire +3 more sources
Assessment of an Exchange Rate’s Fluctuations Impact on the Foreign Exchange Market
Journal of Vasyl Stefanyk Precarpathian National University, 2022 The article analyzes the foreign exchange market functioning under the influence of exchange rate fluctuations. The main factors determining the exchange rate in the existing conditions have been determined.
Tetiana Solodzhuk, Tetiana Myhovych
doaj +1 more source
FEBS Open Bio, EarlyView.IqgC is a RasGAP from Dictyostelium discoideum. IqgC binds RasG via its RasGAP domain and deactivates it on macroendocytic cups, thereby suppressing the uptake of fluid and particles. IqgC has a positive effect on cell‐substratum adhesion, and its RGCt domain is required for recruitment to ventral foci.
Vedrana Filić +3 more
wiley +1 more source
FEBS Open Bio, EarlyView.CRISPRI‐mediated gene silencing and phenotypic exploration in nontuberculous mycobacteria. In this Research Protocol, we describe approaches to control, monitor, and quantitatively assess CRISPRI‐mediated gene silencing in M. smegmatis and M. abscessus model organisms.
Vanessa Point +7 more
wiley +1 more source
Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market [PDF]
, 2008 This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump assets or moment ...
Olhede, Sofia +2 more
core +6 more sources