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Option pricing under multiscale stochastic volatility
(2015)
The stochastic volatility model proposed by Fouque, Papanicolaou, and Sircar (2000) explores a fast and a slow time-scale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility ...
Relationship Between the Different Aspects Related to Coffee Quality and Their Volatile Compounds
(2016-07-01)
This paper provides, for the first time, an overview of different aspects related to the quality of coffee beans and their volatile fractions: species/cultivars, geographic origins, bean defects, and types of beverages, ...
A selective conductive polymer-based sensor for volatile halogenated organic compounds (VHOC)
(ELSEVIER SCIENCE SA, 2008)
A novel poly(p-xylylene), PPX, derivative bearing alkoxyphenyl side groups was electrochemically synthesized in 87% yield. The polymer, poly(4`-hexyloxy-2,5-biphenyleneethylene) (PHBPE), presented a fraction (92%) soluble ...
Reality check for volatility models
(Escola de Pós-Graduação em Economia da FGV, 2001-09-27)
Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type ...
Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests
(Elsevier, 2014)
We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable predictability patterns. Predictability in implied volatilities is expected due to the learning behavior ...
Exchange rate and volatility: a bibliometric review
(Wiley, 2020)
The exchange rate is one of the most important prices in open economies. Exchange rate volatility (ERV) has been studied in terms of its measurement, forecast and impact and relationship with other variables. This article ...