Search results for " volatility."
showing 10 items of 107 documents
Available evidence on re-irradiation with stereotactic ablative radiotherapy following high-dose previous thoracic radiotherapy for lung malignancies
2015
Patients affected with intra-thoracic recurrences of primary or secondary lung malignancies after a first course of definitive radiotherapy have limited therapeutic options, and they are often treated with a palliative intent. Re-irradiation with stereotactic ablative radiotherapy (SABR) represents an appealing approach, due to the optimized dose distribution that allows for high-dose delivery with better sparing of organs at risk. This strategy has the goal of long-term control and even cure. Aim of this review is to report and discuss published data on re-irradiation with SABR in terms of efficacy and toxicity. Results indicate that thoracic re-irradiation may offer satisfactory disease c…
European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis
2015
In this paper the valuation problem of a European call option in presence of both stochastic volatility and transaction costs is considered. In the limit of small transaction costs and fast mean reversion, an asymptotic expression for the option price is obtained. While the dominant term in the expansion it is shown to be the classical Black and Scholes solution, the correction terms appear at $O(\varepsilon^{1/2})$ and $O(\varepsilon)$. The optimal hedging strategy is then explicitly obtained for the Scott's model.
Approach to the 1-propanol dehydration using an extractive distillation process with ethylene glycol
2015
Abstract The extractive distillation process exploits the capacity of some chemicals to alter the relative volatility between the components of a mixture. In this way, a third component (called entrainer) may be added to an azeotropic binary mixture to break the azeotrope. This paper discusses the potential use of ethylene glycol as entrainer in a 1-propanol dehydration process by extractive distillation. First, the present work focuses on the acquisition of isobaric vapor–liquid equilibrium data of the ternary system 1-propanol + water + ethylene glycol system and the binaries systems 1-propanol + ethylene glycol and water + ethylene glycol. All measurements were done at 101.3 kPa. The exp…
Isobaric vapor-liquid equilibria for extractive distillation of 1-propanol + water mixture using thiocyanate-based ionic liquids
2017
Abstract This paper presents vapor-liquid equilibrium (VLE) data at 101.3 kPa for the ternary systems 1-propanol + water + 1-ethyl-3-methylimidazolium thiocyanate [emim][SCN] and 1-propanol + water + 1-butyl-3-methylimidazolium thiocyanate [bmim][SCN] and their constituents binary systems. The experimental data obtained were correlated using the NRTL, eNRTL and UNIQUAC models. It was found that the addition of these ionic liquids enhance the relative volatility of 1-propanol to water, and the separation ability follows the order of [emim][SCN] > [bmim][SCN]. The results obtained were compared with the VLE data of the system containing this azeotropic mixtures with different imidazolium-base…
Estimation of Value-at-Risk on Romanian Stock Exchange Using Volatility Forecasting Models
2013
This paper aims to analyse the market risk (estimated by Value-at-Risk) on the Romanian capital market using modern econometric tools to estimate volatility, such as EWMA, GARCH models. In this respect, I want to identify the most appropriate volatility forecasting model to estimate the Value-at-Risk (VaR) of a portofolio of representative indices (BET, BET-FI and RASDAQ-C). VaR depends on the volatility, time horizon and confidence interval for the continuous returns under analysis. Volatility tends to happen in clusters. The assumption that volatility remains constant at all times can be fatal. It is determined that the most recent data have asserted more influence on future volatility th…
THE CARMA INTEREST RATE MODEL
2014
In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure model and provides closed-form solutions to bond prices, yields, bond option prices, and the term structure of forward rate volatility. We demonstrate the capabilities of our model by calibrating it to a panel of spot rates and the empirical volatility of forward rates simultaneously, making the model consistent with both the spot rate dynamics and forward rate volatility structure.
Extracting Conditionally Heteroskedastic Components using Independent Component Analysis
2020
In the independent component model, the multivariate data are assumed to be a mixture of mutually independent latent components. The independent component analysis (ICA) then aims at estimating these latent components. In this article, we study an ICA method which combines the use of linear and quadratic autocorrelations to enable efficient estimation of various kinds of stationary time series. Statistical properties of the estimator are studied by finding its limiting distribution under general conditions, and the asymptotic variances are derived in the case of ARMA-GARCH model. We use the asymptotic results and a finite sample simulation study to compare different choices of a weight coef…
The term structure of volatility predictability
2020
Volatility forecasting is crucial for portfolio management, risk management, and pricing of derivative securities. Still, little is known about the accuracy of volatility forecasts and the horizon of volatility predictability. This paper aims to fill these gaps in the literature. We begin this paper by introducing the notions of the spot and forward predicted volatilities and propose to describe the term structure of volatility predictability by the spot and forward forecast accuracy curves. Then we perform a comprehensive study on the term structure of volatility predictability in the stock and foreign exchange markets. Our results quantify the volatility forecast accuracy across horizons …
Isobaric Vapor−Liquid Equilibria for Water + Acetic Acid + Sodium Acetate
2003
Isobaric vapor−liquid equilibria for the binary water + sodium acetate and acetic acid + sodium acetate systems and ternary mixtures of water, acetic acid, and sodium acetate have been measured at 100 kPa with a recirculating still. The addition of sodium acetate to water + acetic acid mixtures produced an appreciable rise in equilibrium temperature but a small effect on the relative volatility of water, which was augmented at higher water solvent concentrations and decreased at lower concentrations. These effects increased with higher salt concentrations. The experimental binary data sets have been correlated using a modified Mock's electrolyte NRTL model, which takes into account the asso…
Empirical Study on the Relationship between the Cross-Correlation among Stocks and the Stocks' Volatility Clustering
2013
In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among stock's volatilities and the volatility clustering. Volatility clustering is related to the memory property of the volatility time-series and therefore to its predictability. Our results show that there exists a relationship between the level of predictability of any volatility time-series and the amount of its inter-dependence with other assets. In all considered cases, the more the asset is linked to other assets, the more its volatility keeps memory of …