Concept

Volatility (finance)

Related publications (74)

Inventory dynamics in process industries: An empirical investigation

Ralf Seifert, Olov Isaksson, Philipp Urs Moser

Process industry firms have thrived in recent decades, but changes in the markets are currently putting both growth and profitability at risk. In this context, inventory management is increasingly viewed as an essential lever for creating a sustainable com ...

Elsevier2017

Insider Trading, Stochastic Liquidity, And Equilibrium Prices

Pierre Collin Dufresne

We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks t ...

Wiley-Blackwell2016

Fed funds futures variance futures

Damir Filipovic

We develop a novel contract design, the fed funds futures (FFF) variance futures, which reflects the expected realized basis point variance of an underlying FFF rate. The valuation of short-term FFF variance futures is completely model-independent in a gen ...

Routledge Journals, Taylor & Francis Ltd2016

Polynomial diffusions and applications in finance

Damir Filipovic, Martin Larsson

This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and ...

Springer Verlag2016

Arbitraging Intraday Wholesale Energy Market Prices With Aggregations of Thermostatic Loads

Maryam Kamgarpour, John Lygeros

We investigate the potential for aggregations of residential thermostatically controlled loads (TCLs), such as air conditioners, to arbitrage intraday wholesale electricity market prices via non-disruptive load control. We present two arbitrage approaches: ...

2015

Formation and aging of secondary organic aerosol from toluene: changes in chemical composition, volatility, and hygroscopicity

Athanasios Nenes, Spyros Pandis

Secondary organic aerosol (SOA) is transformed after its initial formation, but this chemical aging of SOA is poorly understood. Experiments were conducted in the Carnegie Mellon environmental chamber to form secondary organic aerosol (SOA) from the photo- ...

2015

Resilience and reactivity of global food security

Andrea Rinaldo, Samir Suweis, Paolo d'Odorico, Amos Maritan

The escalating food demand by a growing and increasingly affluent global population is placing unprecedented pressure on the limited land and water resources of the planet, underpinning concerns over global food security and its sensitivity to shocks arisi ...

Natl Acad Sciences2015

Investment-based financing constraints and debt renegotiation

Michi Nishihara

We consider how equity holders' bargaining power during financial distress influences the interactions between financing and investment decisions when the firm faces the upper limit of debt issuance. We obtain four results. First, weaker equity holders' ba ...

Elsevier Science Bv2015

The Swaption Cube

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes ...

Oxford Univ Press Inc2014

Toward the determination of joint volatility-hygroscopicity distributions: Development and response characterization for single-component aerosol

Athanasios Nenes

This work presents the development and characterization of a thermodenuder for the study and interpretation of aerosol volatility. Thermodenuder measurements are further combined with a continuous-flow streamwise thermal gradient CCN counter to obtain the ...

2014

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