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نتیجه جستجو - implied volatility

تعداد مقالات یافته شده: 9
ردیف عنوان نوع
1 An empirical investigation of the relationship between business performance and suicide in the US
بررسی تجربی رابطه بین عملکرد تجاری و خودکشی در ایالات متحده-2020
Previous research suggests that mortality rates behave pro-cyclically with respect to economic growth, with suicides representing a notable exception that consistently increase in economic downturns. Over recent years, there is ample evidence in the literature that the working environment in the US has deteriorated significantly, suggesting that suicide rates may not necessarily behave in a counter-cyclical manner with business performance. Utilising recent suicide data, this study empirically tests the hypothesis that adverse working conditions over recent years may have resulted in a pro-cyclical relationship between business performance and suicide. Unlike previous studies, we use a stock market index, a leading macroeconomic indicator, to measure economic conditions from a business perspective. We employ the Autoregressive Distributed Lag (ARDL) co-integration methodology to study the long-run relationship between monthly S&P500 stock market data and age and gender-specific suicide rates during the period January 1999 to July 2017. Our results highlight substantial differences in age groups responses to fluctuations in business performance. We find a clear positive association between business performance and suicide rates for the youngest males and females aged 15–34 years, indicating that there is a human cost associated with improved business performance. Additionally, we investigate the association between economic insecurity, a unique aspect of the recent deterioration in the working environ ment, using the Implied Volatility Index “VIX” and age and gender-specific suicide rates. Our findings do not support a population-wide adverse impact of economic insecurity on suicide incidences. The exception was males aged 15–24, and females aged 55–64 for whom we find a significant positive association. Teaching work-life management and problem-solving skills to manage everyday work stressors may be important strategies to mitigate the psychological cost of business successes.
Keywords: Suicide | Stock market fluctuations | Economic conditions | Business performance | Economic insecurity | Psychological work stressors
مقاله انگلیسی
2 Do spillover effects between crude oil and natural gas markets disappear? Evidence from option markets
آیا تاثیرات خارجی بین بازارهای نفت خام و گاز طبیعی ناپدید می شود؟ شواهدی از بازارهای گزینه ای-2018
This study investigates the volatility relationship between crude oil and natural gas markets from 2007 to 2015. Particularly, we focus on implied volatility and provide evidence from both call and put options. In general, we find that there are no volatility dependencies between these two markets after 2007, which is consistent with price independencies documented in Batten et al. (2017). However, we observe significant causality relations from oil to gas in put options in a minority of our sample. Further, the causalities can be decomposed into short-term and long-term relations, which might be explained by a series of influential events.
keywords: Time-varying causality| Implied volatility| Crude oil| Natural gas| Options
مقاله انگلیسی
3 The informational role of options markets: Evidence from FOMC announcements
نقش اطلاعات بازارهای گزینه ای: شواهدی از اعلانات FOMC-2018
This paper examines the informational role of equity options trading around Federal Open Market Committee (FOMC) announcements. We find that information contained in option trades prior to FOMC rate change announcements, measured as implied volatility spread, predicts bank stock returns to a greater degree than does volatility spread prior to non-meeting days. We examine U.S. banks due to their interest rate sensitivity; however, we also show that return predictability around rate changes is reliably stronger in all firms, across all industries that are more interest rate sensitive. We find that return predictability is primarily driven by surprise changes in interest rates that occur during meetings with high degrees of information asymmetry. Finally, we document that volatility spread impounds information about FOMC meetings before that information is reflected in stock prices; this effect is significantly greater during surprise events, suggesting that the options market is an important source of informed trading.
keywords: Options trading |Implied volatility |Federal funds rate |Information efficiency |Banking
مقاله انگلیسی
4 The time horizon of price responses to quantitative easing
افق زمانی واکنش های قیمت به سهولت کمّی-2018
Studies of how quantitative easing (QE) impacts asset prices typically look for effects in one- or two-day windows around QE announcements. This methodology underestimates the impact of QE on asset classes whose responses happen outside of this short time frame. We document that QE announcements by the Fed, ECB, and the Bank of England are associated with: quick price reactions of medium- and long-term government bonds; but with reactions in equity and equity implied volatility that occur over several weeks. Robustness checks using past monetary policy episodes and the cross-section of US industry returns confirm these results.
keywords: Quantitative easing |Monetary policy |Asset purchases |Asset prices
مقاله انگلیسی
5 Effects of IFRS-13 on the relevance of fair value adjusted by credit risk: Evidence from Europe
تاثیرات IFRS-13 روی مناسب بودن ارزش کالای تنظیم شده توسط خطر اعتباری: شواهدی از اروپا-2018
Accounting harmonization in Europe by International Financial Reporting Standard adoption is a recurrent object of study in the accounting literature. In this paper the consequences of the adoption of Standard-13 are analyzed. In particular, this research analyzes the effects on the implied volatility option (risk) for non-financial companies of three variables: financial leverage, own probability default (Debt Value Adjusted) and financial institutions credit risk (Credit Value Adjusted), before and after the adoption of the accounting standard on fair value. The empirical study focuses on member companies of the European Monetary Union zone to avoid other risk factors different to market risk (such as exchange rate or different risk free rate) and at the same time, easily identify the market portfolio (EUROSTOXX-50). To overcome the problems of endogeneity in the panel data, we use the technique System Generalized Method of Moments with instrumental variables to estimate the parameters. The results show that the leverage effect on excess risk does not change after adopting the Standard, however, its own and the financial institutions default probabilities become statistically significant. Furthermore, this novel methodology allows estimate industry asset betas and, in all cases the asset betas were lower than equity betas and, found an average debt beta of 0.4 for the sample period.
keywords: Credit Value Adjust|Debt Value Adjust|Fair value|Industry beta|Volatility
مقاله انگلیسی
6 Point process models for extreme returns: Harnessing implied volatility
مدلهای فرآیند نقطه ای برای بازگشت های حداکثر: کنترل فراریت دلالت شده-2018
Forecasting the risk of extreme losses is an important issue in the management of financial risk. There has been a great deal of research examining how option implied volatilities (IV) can be used to forecast asset return volatility. However, the role of IV in the context of predicting extreme risk has received relatively little attention. The potential benefit of IV in forecasting extreme risk is considered within a range of models beginning with the traditional GARCH based approach, along with a number of novel point process models. Univariate models where IV is included as an exogenous variable are considered along with a novel bivariate approach where extreme movements in IV are treated as another point process. It is found that in the context of forecasting Value-at-Risk, the bivariate models produce the most accurate forecasts across a wide range of scenarios.
keywords: Implied volatility |Hawkes process |Peaks over threshold |Point process |Extreme events
مقاله انگلیسی
7 اثرات بازده بورس سهام و ارز ایالت متحده و تغییرات بر روی VKOSPI
سال انتشار: 2015 - تعداد صفحات فایل pdf انگلیسی: 35 - تعداد صفحات فایل doc فارسی: 40
KOSPI (شاخص مرکب قیمت گذاری سهام کشور کره)، 200 اپشن، یکی از فرامده های (غیراصلی) فعال تجاری در جهان است. این مقاله، بطور تجربی، به بررسی ازمون: الف) خصوصیات اماری شاخص معرف تغییرات ضمنی کشور کره (VKOSPI) ناشی از KOSPI 200 options ، و ب) اقتصاد کلان و متغیرهای مالی که می توانند پروسه تغییرات ضمنی شاخص را (با استفاده از مدل های خودکاهشی تقویت شده ناهمگون (HAR) با متغیرهای کمکی برون زاد، پیش بینی نمایند. نتایج حاصل پیشنهاد می کنند که چهارچوب پیچیده HAR، قادر به توصیف پویایی شناسی VKOSPI، است و از اینرو برخی از متغیرهای درونی اقتصاد کلان، VKOSPI را توصیف می کنند. بطور قابل توجهی، به این نتیجه رسیدیم که بازده بورس سهام و ارز و شاخص تغییرات ضمنی بازار ایالات متحده (یعنیS&P 500 spot return و VIX از 500 options S&P) نقشی کلیدی در پیش بینی سطح VKOSPI و بیان پویایی ان دارد. بعلاوه، در حالیکه بازده بورس سهام و ارز داخلی، VKOSPI را پیش بینی نمی کند، بازده بورس سهام و ارز ایالت متحده، نسبتا، عملکرد خوبی دارد. زمانی که دو عامل جهانی (هم بازده بورس سهام و ارز ایالت متحده و هم شاخص تغییرات ضمنی US)، در چهارچوب HAR ادغام می شوند، مدل نامبرده، بهترین عملکرد را هم در خصوص برازندگی و تناسب در نمونه و هم در توانایی پیش بینی خارج از نمونه، نشان می دهد. کلید واژه ها: مدل HAR | شاخص تغییرات ضمنی | KOSPI 200 options | S&P 500 | VIX | VKOSPI.
مقاله ترجمه شده
8 کیفیت حسابداری، ریسک اطلاعات و نوسان ضمنی در آستانه اعلام سود
سال انتشار: 2015 - تعداد صفحات فایل pdf انگلیسی: 44 - تعداد صفحات فایل doc فارسی: 42
در این مقاله تأثیر کیفیت حسابداری (که به عنوان متغیر جانشین ریسک اطلاعاتی به کار می رود) را بر وضعیت نوسان ضمنی سهام در آستانه اعلام سود فصلی بررسی می¬کنیم. با استفاده از داده¬های بنگاه¬های آمریکایی در طول سال¬های 1996 تا 2010 مشاهده کردیم که کیفیت حسابداری کمتر (بالاتر) با سطح بیشتر (کمتر) نوسان ضمنی (IV) در آستانه اعلام سود ارتباط معناداری دارد. کیفیت حسابداری پایین نیز با افزایش قابل توجه IV پیش از اعلام سود ارتباط دارد و مشخص شد که با دقت بیشتر در IV پس از اعلام سود ارتباط دارد. یافته¬های خود را به عنوان نشانه¬ای از ریسک اطلاعات تفسیر می¬کنیم که تأثیر معناداری بر رفتار نوسان ضمنی در آستانه اعلام سود دارد.
طبقه¬بندی JEL: G13، G14، M41
کلیدواژه ها: کیفیت حسابداری | کیفیت اقلام تعهدی | ریسک اطلاعات | اعلام سود | نوسان ضمنی | عدم قطعیت سرمایه گذار.
مقاله ترجمه شده
9 The Business Intelligence as a Service in the Cloud
هوش تجاری به عنوان یک سرویس در ابر-2014
Limitations imposed by the traditional practice in financial institutions of running risk analysis on the desktop mean many rely on models which assume a ‘‘normal’’ Gaussian distribution of events which can seriously underestimate the real risk. In this paper, we propose an alternative service which uses the elastic capacities of Cloud Computing to escape the limitations of the desktop and produce accurate results more rapidly. The Business Intelligence as a Service (BIaaS) in the Cloud has a dual-service approach to compute risk and pricing for financial analysis. The first type of BIaaS service uses three APIs to simulate the Heston Model to compute the risks and asset prices, and computes the volatility (unsystematic risks) and the implied volatility (systematic risks) which can be tracked down at any time. The second type of BIaaS service uses two APIs to provide business analytics for stock market analysis, and compute results in the visualised format, so that stake holders without prior knowledge can understand. A full case study with two sets of experiments is presented to support the validity and originality of BIaaS. Additional three examples are used to support accuracy of the predicted stock index movement as a result of the use of the Heston Model and its associated APIs. We describe the architecture of deployment, together with examples and results which show how our approach improves risk and investment analysis and maintaining accuracy and efficiency whilst improving performance over desktops. Keywords: Heston Model simulations Heston Model Business Intelligence as a Service (BIaaS) Calibration APIs for stock index Visualisation in the cloud SaaS in the private cloud
مقاله انگلیسی
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