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We present an enterprise design pattern for managing metadata in support of financial analytics packages. The complexity of financial modeling typically requires deployment of multiple financial analytics packages, drawing data from multiple source systems. Business domain experts are typically...
Persistent link: https://www.econbiz.de/10012707167
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
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 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
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
This article explores the automation of accessing and analyzing financial data from Regulation A Form 1-A filings in the U.S. Securities and Exchange Commission's Electronic Data Gathering, Analysis, and Retrieval (EDGAR) database using Python. These filings provide a streamlined pathway for...
Persistent link: https://www.econbiz.de/10014350392
In the past year, generative AI, led by Chat GPT by Open AI and Bard, a language experiment by Google, generated tremendous attention amongst the public. Their impact on finance, law and general productivity are difficulty to articulate with words. This paper aims to strengthen the...
Persistent link: https://www.econbiz.de/10014352641
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
provided by the Black-Scholes model, which will be studied, given moneyness and due-term of options. … to European-type call options having as supportassets the CAC-40 money-market index. Our approach will be structured in …. Once this problem is solved, we will analyze the relationship existing between implicit volatility moneyness and due term …
Persistent link: https://www.econbiz.de/10005052118
volatility surfaces based on those European options written in the standard and poor (S&P) Nifty equity index. The stochastic … nature of implied volatility across strike price, time-to-expiration and moneyness violates the core assumption of the Black … moneyness, time-to-expiration and the liquidity of the strikes. The empirical work has been expressed by means of a simple …
Persistent link: https://www.econbiz.de/10014875197