Results 11 to 20 of about 22,148 (267)
Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility [PDF]
Risks, 2020 We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time. Our methods are exceedingly simple and far simpler than the existing ones. Using intraday prices for the
Moawia Alghalith +2 more
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Effect of Sulfate on Technetium/Rhenium Volatilization During Vitrification
He huaxue yu fangshe huaxue, 2023 Sulfate is quite crucial to influence Tc/Re volatilization during nuclear liquid waste vitrification, but the mechanism of the effect is not yet clear.
PENG Lai-kang +5 more
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From volatility smiles to the volatility of volatility [PDF]
Decisions in Economics and Finance, 2019 The authors review models of the option surface and reduced-form models for stochastic volatility in continuous time, under the risk-neutral measure. They introduce ``forward volatilities'' (in analogy with forward interest rates in the term structure theory), and prove that such objects are conditional expected values, under the risk-neutral measure ...
Dumas B., Luciano E.
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Volatility of volatility of financial markets [PDF]
Mathematical and Computer Modelling, 1998 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
L. Ingber, J.K. Wilson
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Volatility Options in Rough Volatility Models [PDF]
SSRN Electronic Journal, 2018 We discuss the pricing and hedging of volatility options in some rough volatility models. First, we develop efficient Monte Carlo methods and asymptotic approximations for computing option prices and hedge ratios in models where log-volatility follows a Gaussian Volterra process.
Blanka Horvath +2 more
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SSRN Electronic Journal, 2014 Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of order 0.1, at any reasonable time scale.
Gatheral, Jim +2 more
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Production of Methyl-Iodide in the Environment
Frontiers in Microbiology, 2021 Iodine is an essential micronutrient for most of the living beings, including humans. Besides its indispensable role in animals, it also plays an important role in the environment. It undergoes several chemical and biological transformations resulting in
Eva Duborská +6 more
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Recovery of zinc from zinc oxide dust containing multiple metal elements by carbothermal reduction [PDF]
Journal of Mining and Metallurgy. Section B: Metallurgy, 2022 A carbothermal reduction process simulating EAF process is used to handle the zinc oxide dust, and the zinc in the dust can be extracted and recovered efficiently. The crude zinc and lead-tin alloy were obtained finally.
Lei F.-G. +5 more
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Volatility Forecasting for Low-Volatility Investing
SSRN Electronic Journal, 2022 Low-volatility investing often involves sorting and selecting stocks based on retrospective risk measures, for example, the historical standard deviation of returns. In this paper, we use the volatility forecasts from a wide spectrum of volatility models to sort and select stocks and estimate portfolio weights.
Christian Conrad +2 more
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Frontiers in Microbiology, 2023 A novel laboratory model was designed to study the arsenic (As) biotransformation potential of the microalgae Chlorella vulgaris and Nannochloropsis sp. and the cyanobacterium Anabaena doliolum. The Algae were treated under different concentrations of As(
Atul K. Upadhyay +11 more
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