Results 1 to 10 of about 897 (115)
DSFM fitting of implied volatility surfaces [PDF]
5th International Conference on Intelligent Systems Design and Applications (ISDA'05), 2005 Implied volatility is one of the key issues in modern quantitative finance, since plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely traded, which results in a great amount of high-dimensional data especially on an intra day level.
Fengler, Matthias +2 more
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The Application of Symbolic Regression on Identifying Implied Volatility Surface
Mathematics, 2023 One important parameter in the Black–Scholes option pricing model is the implied volatility. Implied volatility surface (IVS) is an important concept in finance that describes the variation of implied volatility across option strike price and time to ...
Jiayi Luo, Cindy Long Yu
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PCA for Implied Volatility Surfaces [PDF]
The Journal of Financial Data Science, 2020 Principal component analysis (PCA) is a useful tool when trying to construct factor models from historical asset returns. For the implied volatilities of U.S. equities there is a PCA-based model with a principal eigenportfolio whose return time series lies close to that of an overarching market factor.
Avellaneda, Marco +3 more
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An Intuitive Introduction to Fractional and Rough Volatilities
Mathematics, 2021 Here, we review some results of fractional volatility models, where the volatility is driven by fractional Brownian motion (fBm). In these models, the future average volatility is not a process adapted to the underlying filtration, and fBm is not a ...
Elisa Alòs, Jorge A. León
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Forecasting Implied Volatility Surfaces [PDF]
SSRN Electronic Journal, 2008 This paper introduces a new semi-parametric methodology for the implied volatility surface, which incorporates machine learning algorithms. Given a starting model, a tree boosting algorithm sequentially minimizes the residuals of observed and estimated implied volatility.
Francesco Audrino, Dominik Colagelo
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Journal of Function Spaces, 2021 It has been found that the surface of implied volatility has appeared in financial market embrace volatility “Smile” and volatility “Smirk” through the long-term observation.
Yanli Zhou +3 more
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Calibration Design of Implied Volatility Surfaces [PDF]
SSRN Electronic Journal, 2006 The calibration of option pricing models leads to the minimization of an error functional. We show that its usual specification as a root mean squared error implies fluctuating exotics prices and possibly wrong prices. We propose a simple and natural method to overcome these problems, illustrate drawbacks of the usual approach and show advantages of ...
Kai Detlefsen, Wolfgang Härdle
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Calibrating FBSDEs Driven Models in Finance via NNs
Risks, 2022 The curse of dimensionality problem refers to a set of troubles arising when dealing with huge amount of data as happens, e.g., applying standard numerical methods to solve partial differential equations related to financial modeling.
Luca Di Persio +2 more
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Simulation of Arbitrage-Free Implied Volatility Surfaces
Applied Mathematical Finance, 2023 We present a computationally tractable method for simulating arbitrage-free implied volatility surfaces. We illustrate how our method may be combined with a data-driven model based on historical SPX implied volatility data to generate dynamic scenarios for arbitrage-free implied volatility surfaces. Our approach conciliates static arbitrage constraints
Cont, R, Vuletić, M
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A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models
Risks, 2020 We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface.
Christa Cuchiero +2 more
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