A market model for stochastic implied volatility

PJ Schönbucher - … Transactions of the Royal Society of …, 1999 - royalsocietypublishing.org
In this paper a stochastic volatility model is presented that directly prescribes the stochastic
development of the implied Black–Scholes volatilities of a set of given standard options. Thus …

Sexual quality of life of individuals with 46, XY disorders of sex development

V Schönbucher, K Schweizer, L Rustige… - The Journal of …, 2012 - academic.oup.com
Introduction There has recently been a growing acceptance that it is not only heterosexual
functioning of surgically adjusted genitalia which should be considered when measuring the …

[PDF][PDF] Prediction of burning rate of an accidentally released flammable fuel by means of CFD simulation

…, KD Wehrstedt, A Schönbucher - Proceedings of 7th …, 2009 - flair.monash.edu
Depending on the length of combustion zone, average mass flow rate of fluid crossing the
interface (imaginary source of equivalent size) of combustion and plume zone can be …

Is SPAC Sponsor Compensation Evolving? A Sober Look at Earnouts

M Klausner, M Ohlrogge - 2022 - papers.ssrn.com
SPACs have been widely criticized for imposing high costs on SPAC shareholders and for
the incentive they create for sponsors to enter into mergers that are bad deals. Some SPACs …

[PDF][PDF] Modeling the Price Dynamics of Catastrophe Bonds

DS Taylor - 2010 - kilthub.cmu.edu
Catastrophe bonds and other classes of insurance linked securities, whose payoffs are tied
to the occurrence of property catastrophes, provide primary insurers and reinsurers a …

When cancer cannot be cured: A qualitative study on relationship changes in couples facing advanced melanoma

…, C Meier, S Büchi, K Schad, V Schönbucher… - … & supportive care, 2016 - cambridge.org
Objective:The aim of this qualitative study was to gain a deeper understanding about couples'
relationship changes over time (the first six months) after one partner is diagnosed with an …

Volatility surfaces: theory, rules of thumb, and empirical evidence

T Daglish, J Hull, W Suo - Quantitative Finance, 2007 - Taylor & Francis
Implied volatilities are frequently used to quote the prices of options. The implied volatility of
a European option on a particular asset as a function of strike price and time to maturity is …

A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options

N Panigirtzoglou, G Skiadopoulos - Journal of Banking & Finance, 2004 - Elsevier
This paper presents a new approach to modeling the dynamics of implied distributions. First,
we obtain a parsimonious description of the dynamics of the S&P 500 implied cumulative …

[PDF][PDF] LossCalcTM: Model for predicting loss given default (LGD)

GM Gupton, RM Stein, A Salaam… - Moody's KMV, New York, 2002 - rogermstein.com
This report describes and documents LossCalc, Moody's model for predicting loss given
default (LGD): the equivalent of (1-recovery rate. LGD is of natural interest to investors and …

Deep hedging: learning to remove the drift under trading frictions with minimal equivalent near-martingale measures

H Buehler, P Murray, MS Pakkanen, B Wood - arXiv preprint arXiv …, 2021 - arxiv.org
We present a machine learning approach for finding minimal equivalent martingale measures
for markets simulators of tradable instruments, eg for a spot price and options written on …