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Water stress and ripeness effects on the volatile composition of Cabernet Sauvignon wines
(John Wiley and Sons Ltd, 2018)
The calibration of stochastic local-volatility models: an inverse problem perspective
(Elsevier, 2019)
We tackle the calibration of the Stochastic Local-Volatility (SLV) model. This is the class of financial models that combines the local volatility and stochastic volatility features and has been subject of the attention ...
Modelling and forecasting the volatility of brazilian asset returns: a realized variance approach
(Escola de Pós-Graduação em Economia da FGV, 2004-06-03)
The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe ...
Identificación de los compuestos volátiles de Prosthechea karwinskii
(Instituto Politécnico Nacional, 2015-08)
La mayoría de la gente percibe las fragancias de las flores, el olor de la hierba, el aroma de un bosque de pinos. Esta respuesta humana ha generado un uso indirecto para los olores de las plantas y ha llegado a ser la ...
Stochastic volatility and option pricing in the Brazilian stock market: an empirical investigation
(2005)
The stochastic volatility model (SVPS) proposed by Fouque et al. (2000a) explores a rapid timescale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility smile implied by close ...
Analysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective
This study explores the performance of volatility-based trading strategies on scheduled news announcement days. The design of the investment strategies is based on the fall of the VIX, VSTOXX, VDAX-NEW and VFTSE volatility ...
Forecasting USD-BRL currency rate volatility usingrealized and implied volatilities data
(Universidade de São PauloBrasilInstituto COPPEAD de AdministraçãoUSP, 2019)