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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
doaj +3 more sources
The surface of implied firm’s asset volatility
Journal of Banking and Finance, 2020 This paper analyzes the surface of CDS implied firm's asset volatility at the aggregate market level, using a sample of European investment-grade firms during the 2007-2014 period. The term structure of asset implied volatilities is backed-out from the term structure of CDS spreads, while the moneyness dimension is proxied by the ratio of the default ...
Florina Silaghi, Lidija Lovreta
exaly +4 more sources
Arbitrage-free smoothing of the implied volatility surface [PDF]
Quantitative Finance, 2009 The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in negative transition probabilities and/ or negative local volatilities, and ultimately, into mispricings.
Matthias R Fengler
exaly +6 more sources
Implied volatility surface predictability: The case of commodity markets [PDF]
Journal of Banking and Finance, 2019 35 pages, 6 figures, 9 tables, to appear in Journal of Banking and ...
Fearghal Kearney, Han Lin Shang
exaly +4 more sources
MathematicsImplied volatility is known to have a string structure (smile curve) for a given time to maturity and can be captured by the B-spline. The parameters characterizing the curves can change over time, which complicates the modeling of the implied volatility
Zihao Chen, Yuyang Li, Cindy Long Yu
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Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
SIAM Journal on Financial Mathematics, 2023 20 pages, 7 ...
Sebastian Jaimungal
exaly +4 more sources
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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DSFM Fitting of Implied Volatility Surfaces [PDF]
5th International Conference on Intelligent Systems Design and Applications (ISDA'05), 2005 The implied volatility became one of the key issues in modern quantitative finance, since the 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 ...
Szymon Borak +2 more
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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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Deep Smoothing of the Implied Volatility Surface [PDF]
SSRN Electronic Journal, 2019 We present a neural network (NN) approach to fit and predict implied volatility surfaces (IVSs). Atypically to standard NN applications, financial industry practitioners use such models equally to replicate market prices and to value other financial instruments.
Damien Ackerer +2 more
openaire +4 more sources