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approximating formula for the Black and Scholes call function that can be useful for deriving the risk of options i.e. the implied … moneyness …
Persistent link: https://www.econbiz.de/10012823891
This paper aims to summarizing the different approaches in determining the implied volatility for the options. This … value is of particular importance since it is the main component of the option's price and because, among traders, options …
Persistent link: https://www.econbiz.de/10012960021
This paper will give a brief overview of the work of introducing machine learning intelligence in the Kineta e-markets system, to facilitate auto-hedging, smart price engine algorithms and proprietary automatic positioning within the foreign exchange market. In this paper we will give a brief...
Persistent link: https://www.econbiz.de/10013043450
A large variety of information flows through a financial services firm. This information can come from a variety of sources, both external and internal. It is a significant task to reconcile the data from multiple sources and ensure that it is correct before being used within the firm.In this...
Persistent link: https://www.econbiz.de/10013048843
determine with speed (i.e. to converge within a few iterations) the value of the implied volatility for the options. This value …
Persistent link: https://www.econbiz.de/10013060651
This paper provides a description of the proposed discipline of Financial Informatics. Financial Informatics is the application of Computer and Information Science to the storage, retrieval and processing of financial data. Given the ever increasing complexity of the financial marketplace,...
Persistent link: https://www.econbiz.de/10013065736
suffers from many limitations, it is still widely used to derive the implied volatility of options. This is particularly …
Persistent link: https://www.econbiz.de/10014235946
This paper is an interview with a Large Language Model (LLM), namely GPT-3, on the issues of climate change. The interview should give some insights into the current capabilities of these large models which are deep neural networks with generally more than 100 billion parameters. In particular,...
Persistent link: https://www.econbiz.de/10014237549
This paper presents a methodology which blends sensitivity analysis and fuzzy arithmetic for managing uncertainty in project financing transactions. Specifically, we adopt the perspective of the equityholders and use the average Return On Equity (ROE) to measure shareholder value creation and,...
Persistent link: https://www.econbiz.de/10013403889
options. This value is of particular importance since it is the main component of the option's price. The paper after, an …
Persistent link: https://www.econbiz.de/10013061624