Institution
University of Piraeus
Education•Piraeus, Attiki, Greece•
About: University of Piraeus is a education organization based out in Piraeus, Attiki, Greece. It is known for research contribution in the topics: Context (language use) & Computer science. The organization has 1731 authors who have published 6209 publications receiving 106699 citations.
Papers published on a yearly basis
Papers
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TL;DR: In this paper, the authors provide evidence that the time series behaviour of the VIX index is well approximated by a mean reverting logarithmic diffusion with jumps, which is capable of capturing stylized facts of VIX dynamics such as fast mean-reversion at higher levels, level effects of volatility and large upward movements during times of market stress.
Abstract: Volatility indices are becoming increasingly popular as a measure of market uncertainty and as a new asset class for developing derivative instruments. Although jumps are widely considered as a salient feature of volatility, their implications for pricing volatility options and futures are not yet fully understood. This paper provides evidence indicating that the time series behaviour of the VIX index is well approximated by a mean reverting logarithmic diffusion with jumps. This process is capable of capturing stylized facts of VIX dynamics such as fast mean-reversion at higher levels, level effects of volatility and large upward movements during times of market stress. Based on the empirical results, we provide closed-form valuation models for European options written on the spot and forward VIX, respectively.
80 citations
TL;DR: Results demonstrate that when the call-to-mobility ratio (CMR) is low, the proposed scheme can achieve a significant cost reduction compared to the movement-based scheme.
80 citations
TL;DR: Through numerical experiments, it was found that in most cases the genetic algorithm outperformed the subgradient optimisation and the tight time window yielded noninferior solutions.
Abstract: This study addresses a two-objective berth allocation problem: ship service quality expressed by the minimisation of delay in ships' departure and berth utilisation expressed by the minimisation of the total service time. In this problem, noninferior solutions are expected to be identified. Two heuristics, which are implemented based on two existing procedures of the subgradient optimisation and genetic algorithm, are proposed for solving this problem. Through numerical experiments, it was found that in most cases the genetic algorithm outperformed the subgradient optimisation. Also the tight time window yielded noninferior solutions.
79 citations
TL;DR: In this article, the effects of the addition of nonwoven glass fibre mat, and of various thicknesses, on the mechanical properties of laser solidified and vacuum moulded specimens were investigated.
79 citations
TL;DR: In this paper, the role of functional conflict in importer-exporter relationships was investigated and it was found that functional conflict is related positively to exporter cultural sensitivity and asset specificity and negatively to exporters' opportunism.
79 citations
Authors
Showing all 1766 results
| Name | H-index | Papers | Citations |
|---|---|---|---|
| Nicholas Apergis | 56 | 445 | 14876 |
| Natalia Andrienko | 52 | 253 | 11239 |
| Yannis Theodoridis | 47 | 223 | 9426 |
| Marianna Sigala | 44 | 218 | 7458 |
| George P. Patrinos | 43 | 353 | 8785 |
| Abbas Jamalipour | 43 | 518 | 11332 |
| Anastasios Tselepides | 40 | 78 | 4948 |
| Stefanos Gritzalis | 40 | 312 | 5425 |
| Stefan Schwarz | 37 | 209 | 4544 |
| Demetrios G. Sampson | 36 | 306 | 4886 |
| Christos Douligeris | 36 | 347 | 4835 |
| Alexander Artikis | 35 | 158 | 3217 |
| Michael H. Neumann | 34 | 105 | 3415 |
| Ilias Maglogiannis | 33 | 273 | 4810 |
| Gregoris Mentzas | 32 | 257 | 4293 |