Results 51 to 60 of about 240,729 (368)
Atmosphere, 2014 The air-sea exchange of two legacy persistent organic pollutants (POPs), γ-HCH and PCB 153, in the North Sea, is presented and discussed using results of regional fate and transport and shelf-sea hydrodynamic ocean models for the period 1996–2005.
Kieran O'Driscoll
doaj +1 more source
Perpetual callable American volatility options in a mean-reverting volatility model [PDF]
arXiv, 2021 This paper investigates problems associated with the valuation of callable American volatility put options. Our approach involves modeling volatility dynamics as a mean-reverting 3/2 volatility process. We first propose a pricing formula for the perpetual American knock-out put.
arxiv
Volatility of Volatility and Tail Risk Premiums [PDF]
Finance and Economics Discussion Series, 2013 This paper reports on tail risk premiums in two tail risk hedging strategies: the S&P 500 puts and the VIX calls. As a new measure of tail risk, we suggest using a model-free, risk-neutral measure of the volatility of volatility implied by a cross section of the VIX options, which we call the VVIX index.
openaire +4 more sources
Fate of selected drugs in the wastewater treatment plants (WWTPs) for domestic sewage [PDF]
, 2019 The wide diffusion of Emerging Organic Micropollutants (EOMs) in the environment is receiving increasing attention due to their potential toxicological effects on living organisms.
Boni, Maria Rosaria +2 more
core +1 more source
A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2014 We propose a new type of asymptotic expansion for the transition probability density function (or heat kernel) of certain parabolic partial differential equations (PDEs) that appear in option pricing. As other, related methods developed by Costanzino, Hagan, Gatheral, Lesniewski, Pascucci, and their collaborators, among others, our method is based on ...
Nistor, Victor +2 more
openaire +6 more sources
Computational Study on Parametric Variation with Solar Heat Induction of an Entrained Flow Gasifier
Energies, 2022 Gasification has played an important role in the sustainable use of waste biomass, providing useful combustible gases in the process. Gasification has an important role in waste management and promotes energy independence for many oil-deficit countries ...
Anirudh Singh +3 more
doaj +1 more source
Volatilization characteristics of high-lead slag and its influence on measurement of physicochemical properties at high temperature [PDF]
Journal of Mining and Metallurgy. Section B: Metallurgy, 2020 Volatilization causes measurement deviations of physicochemical properties for volatiles-containing slag at high temperature. Hence, investigating the degree of volatilization and identifying the volatilization mechanism and deviation rules are crucial ...
Wang Guohua +7 more
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Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm [PDF]
Journal of Physics: Conference Series 423 (2013) 012021, 2013 The stochastic volatility model is one of volatility models which infer latent volatility of asset returns. The Bayesian inference of the stochastic volatility (SV) model is performed by the hybrid Monte Carlo (HMC) algorithm which is superior to other Markov Chain Monte Carlo methods in sampling volatility variables.
arxiv +1 more source
Characterization of iodine particles with Volatilization-Humidification Tandem Differential Mobility Analyser (VH-TDMA), Raman and SEM techniques [PDF]
, 2006 Particles formed upon photo-oxidation of CH2I2 and particles of I2O5 and HIO3 have been studied using a Volatilisation and Humidification Tandem Differential Mobility Analyser (VH-TDMA) system.
Bostrom, Thor E. +4 more
core +3 more sources
Physica A: Statistical Mechanics and its Applications, 2007 We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the stochastic process for a given portfolio.
A. Christian Silva, Richard E. Prange
openaire +3 more sources