intTypePromotion=4
ADSENSE

Estimating volatilities

Xem 1-20 trên 49 kết quả Estimating volatilities
  • (bq) part 2 book “options, futures, and other derivatives” has contents: the greek letters, volatility smiles, basic numerical procedures, credit derivatives, estimating volatilities and correlations, real options, equilibrium models of the short rate,… and other contents.

    pdf472p tieu_vu15 07-09-2018 7 1   Download

  • The evaporation of I2 was observed to follow primarily first order kinetics, depending on the I2 concentration. The evaporation rate constant increased rapidly with increase in temperature. The presence of Ie slightly reduced the evaporation rate of I2 by forming relatively stable I 3 . The effect of Cle at

    pdf7p minhxaminhyeu4 26-06-2019 7 0   Download

  • While the stochastic volatility (SV) generalization has been shown to improve the explanatory power over the Black-Scholes model, empirical implications of SV models on option pricing have not yet been adequately tested. The purpose of this paper is to first estimate a multivariate SV model using the efficient method of moments (EMM) technique from observations of underlying state variables and then investigate the respective effect of stochastic interest rates, systematic volatility and idiosyncratic volatility on option prices....

    pdf48p batoan 16-07-2009 202 46   Download

  • Volatility forecasting is crucial for option pricing, risk management and portfolio management. Nowadays, volatility has become the subject of trading. There are now exchange-traded contracts written on volatility. Financial market volatility also has a wider impact on financial regulation, monetary policy and macroeconomy.

    pdf238p greengrass304 14-09-2012 66 21   Download

  • Texture, nutritive values and volatile compounds of Lentinula edodes, Pleurotus ostraetus and Pleroutus sajor-caju mushrooms were determined. The volatiles have been found out with an estimation approach by carrying out gas chromatography and mass spectrophotometer (GS–MS) Library Catalogue comparison. Neither regular increase nor decreases were observed for the values of texture, moisture, ash and protein values of L. eddoes.

    pdf7p the_eye_1991 18-09-2012 25 5   Download

  • The estimation of emissions largely depends on the quality of emission factors used for calculation. The study on the estimation of emission factors is important for calculating the emission of air pollutants from road traffic in Ho Chi Minh City (HCMC). The result of this study is the selection of a suitable method and tracer for estimating emission factors of 15 volatile organic compounds (VOCs) from C2-C6 and NOx from road traffic in HCMC. The survey has been carried out in 3/2 Street, District 10, HCMC from January to March 2007. Three VOCs compounds with high average emission...

    pdf9p dem_thanh 22-12-2012 30 3   Download

  • This chapter’s objectives are to: Examine the so-called stylized facts concerning the properties of economic timeseries data, introduce the basic ARCH and GARCH models, show how ARCH and GARCH models have been used to estimate inflation rate volatility,...

    ppt80p nomoney17 04-07-2017 25 1   Download

  • Volatility of stock exchange and its determinants always attract the attention of investors, researchers and exchange authorities. The research estimates the volatility of Vietnam stock market by measuring the conditional volatility of VN-Index and HNX-Index, and explores the relationship between the volatility of stock exchanges and the volatility of two instruments of monetary policy.

    pdf18p danhnguyentuongvi27 18-12-2018 9 0   Download

  • Expected asset risk measures are needed to construct optimal portfolios, plan for retirement, value equities and options, and forecast corporate cash flow distributions. In this lecture, students will: Compute asset return variance and standard deviation, scale standard deviations across time, compute moving average volatility, compute volatility using EWMA models, compute implied volatility using the black-scholes option pricing model.

    ppt26p shiwo_ding8 25-06-2019 5 0   Download

  • The following will be discussed in this chapter: Value options using historical vol, moving average vol (MAV), exponentially weighted moving average (EWMA), and generalized autoregressive conditional heteroskedasticity (GARCH); calculate option model implied volatility surfaces -- time skew (a.k.a. terms structure of volatility), and strike skew (Smiles and Smirks); understand what volatility surfaces reveal about option prices, volatility, and the models.

    ppt25p shiwo_ding8 25-06-2019 10 0   Download

  • .Page i Valuation Measuring and Managing the Value of Companies .Page ii WILEY FINANCE Advanced Fixed-Income Valuation Tools, Narasimham Jegadeesh and Bruce Tuckman Beyond Value at Risk, Kevin Dowd Buying and Selling Volatility, Kevin B. Connolly Chaos and Order in the Capital Markets: New View of Cycles, Prices, and Market Volatility, Second Edition, Edgar E. Peters Corporate Financial Distress and Bankruptcy, Second Edition, Edward I.

    pdf508p leetinh 29-10-2012 142 72   Download

  • It is a pleasure to edit the second volume of papers presented at the Mathematical Finance Seminar of New York University. These articles, written by some of the leading experts in financial modeling cover a variety of topics in this field. The volume is divided into three parts: (I) Estimation and Data-Driven Models, (II) Model Calibration and Option Volatility and (III) Pricing and Hedging. The papers in the section on "Estimation and Data-Driven Models" develop new econometric techniques for finance and, in some cases, apply them to derivatives.

    pdf379p haiduong_1 03-04-2013 34 13   Download

  • Coastal wetlands throughout the Great Lakes has been recognized as important areas for fish production. These wetlands contribute large numbers of prey species, sport and commercial Large lake fisheries (Herdendorf et al 1986; Herdendorf 1987). Estimates vary on the number of species use the coastal wetlands in the Great Lakes. Whillans (1987) estimated that over 90% about 200 species of fish in the Great Lakes are dependent on wetlands for at least some part of their life cycle while Jude and Pappas (1992) found 47 species closely related to coastal wetlands....

    pdf63p lulanphuong 28-03-2012 52 6   Download

  • Inadvertent fetal exposure to contraceptive hormones is common, with a USA study estimating that approximately 70 000 fetuses are exposed to oral contraceptives annually.23 Most of the data on fetal outcomes relate to COC. The CEU found no studies that specifically assessed exposure through quick starting contraception. Studies are often limited by their observational nature, potential confounding factors and small sample size. Reassuringly there have been no consistent findings of specific fetal abnormalities.

    pdf22p le_minh_nha 25-12-2012 42 6   Download

  • One of the reasons private crop insurance markets have not developed is the relatively low demand for crop insurance. Despite large subsidies in the United States, crop insurance participation historically has been relatively low. Farmers and ranchers use a variety of risk management strategies to mitigate the risks they face (Harwood, Heifner, Coble, Perry, and Somwaru, 1999; U.S. GAO, 1999), many of which compete with crop insurance. These include futures and options markets, contracting, cultural practices that reduce crop loss (e.g.

    pdf10p quaivatxanh 29-11-2012 50 5   Download

  • The last two explanatory variables are control variables, while the remaining variables are the corporate governance variables that we discussed in Section VA. As discussed in Section II, the signs of most of these variables are empirical issues, so we use the observed signs to interpret our results. The top section of Table 7 shows estimates of four variants of equation (6) for the full sample.

    pdf185p bin_pham 06-02-2013 44 5   Download

  • A number of OECD countries experienced an environment of low interest rates and a rapid increase in housing market activity during the last decade. Previous work suggests three potential explanations for these events: expansionary monetary policy, capital inflows due to a global savings glut and excessive financial innovation combined with inappropriately lax financial regulation. In this study we examine the effects of these three factors on the housing market.

    pdf0p taisaovanchuavo 23-01-2013 30 4   Download

  • The Cisco® Visual Networking Index (VNI) Global Mobile Data Traffic Forecast Update is part of the comprehensive Cisco VNI Forecast, an ongoing initiative to track and forecast the impact of visual networking applications on global networks. This paper presents some of Cisco’s major global mobile data traffic projections and growth trends. Executive Summary The Mobile Network in 2011 and 2012 Global mobile data traffic grew 2.3-fold in 2011, more than doubling for the fourth year in a row. The 2011 mobile data traffic growth rate was higher than anticipated.

    pdf29p bin_pham 05-02-2013 39 4   Download

  • Provisions are recognized when the Group has a present obligation as a result of a past event, it is probable that an outflow of resources will be required to settle the obligation and a reliable estimate can be made of the amount of the obligation.This obligation may be legal or constructive, deriving from inter alia regulations, contracts, normal practices or public commitments that lead third parties to reasonably expect that the Group will assume certain responsibilities.

    pdf0p tay_thi_le 19-02-2013 38 4   Download

  • (bq) part 2 book "options, futures and other derivatives" has contents: options on stock indices and currencies; futures options, the greek letters, basic numerical procedures, volatility smiles, basic numerical procedures; estimating volatilities and correlations, credit derivatives,...and other contents.

    pdf503p bautroibinhyen23 02-04-2017 37 5   Download

CHỦ ĐỀ BẠN MUỐN TÌM

ADSENSE

p_strKeyword=Estimating volatilities
p_strCode=estimatingvolatilities

nocache searchPhinxDoc

 

Đồng bộ tài khoản
2=>2