{"id":"W4390034119","doi":"10.7202/1092733ar","title":"DIFFICULTÉS DE CALCULER LES COTESDES SWAPS DE VOLATILITÉ","year":2004,"lang":"fr","type":"article","venue":"Assurances et gestion des risques","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"Université du Québec à Montréal","funders":"","keywords":"Variance swap; Swap (finance); Kurtosis; Volatility (finance); Econometrics; Volatility swap; Economics; Interest rate swap; Implied volatility; Financial economics; Mathematics; Statistics; Finance","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":true,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.004516277,0.001210919,0.001159727,0.00129947,0.0008878828,0.00304267,0.001340158,0.001410867,0.005487841],"category_scores_gemma":[0.03641795,0.001184923,0.001277029,0.001334181,0.001125447,0.003621866,0.001835448,0.003870012,0.001091733],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0009955249,"about_ca_system_score_gemma":0.001548595,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.01455783,"about_ca_topic_score_gemma":0.01138115,"domain_scores_codex":[0.9981001,0.0007146304,0.0001160525,0.0002794197,0.0006930321,0.00009677662],"domain_scores_gemma":[0.9848504,0.012066,0.0006301208,0.0008427346,0.001285042,0.000325664],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0003863388,0.0001107473,0.01447725,0.0004453355,0.0001994843,0.0004834576,0.0003493133,0.7059904,0.01158226,0.08187565,0.005887978,0.1782118],"study_design_scores_gemma":[0.00002401143,0.00002743936,0.001822785,0.00004150191,0.00002230629,0.0001449912,0.00005186349,0.9634663,0.003516397,0.02879877,0.002057985,0.00002568661],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.151773,0.002304297,0.8356577,0.001497987,0.0002768879,0.00006816119,0.0005274524,0.001650977,0.006243583],"genre_scores_gemma":[0.6583465,0.001722499,0.3327562,0.0001492795,0.0001650301,0.0001045048,0.0006859628,0.0008492043,0.005220845],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.01455783,"threshold_uncertainty_score":0.02894622,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.05763825240986048,"score_gpt":0.2763430398866688,"score_spread":0.2187047874768083,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}