2 papers
q-fin.ST2025
The Hype Index: an NLP-driven Measure of Market News Attention
Zheng Cao, Wanchaloem Wunkaew, Helyette Geman
This paper introduces the Hype Index as a novel metric to quantify media attention toward large-cap equities, leveraging advances in Natural Language Processing (NLP) for extractin…
math.NA2025
Using the Newton-Raphson Method with Automatic Differentiation to Numerically Solve Implied Volatility of Stock Option through Binomial Model
Wanchaloem Wunkaew, Yuqing Liu, Kirill V. Golubnichiy
In the paper written by Klibanov et al, it proposes a novel method to calculate implied volatility of a European stock options as a solution to ill-posed inverse problem for the Bl…