Results 11 to 20 of about 993 (234)
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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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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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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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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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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The surface of implied firm’s asset volatility
Journal of Banking & 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 ...
Lidija Lovreta, Florina Silaghi
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Simulation of Implied Volatility Surfaces via Tangent Lévy Models [PDF]
SIAM Journal on Financial Mathematics, 2017 In this paper, we implement and test two types of market-based models for European-type options, based on the tangent Levy models proposed recently by R. Carmona and S. Nadtochiy. As a result, we obtain a method for generating Monte Carlo samples of future paths of implied volatility surfaces.
Rene Carmona, Yi Ma, Sergey Nadtochiy
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Credit Spreads and Equity Volatility during Periods of Financial Turmoil
Applied Finance Letters, 2014 We present a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface for the United States and five European countries from 2007– 2012, a sample period covering both the Global Financial Crisis (GFC ...
Katrin Gottschalk
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Option Pricing under the Jump Diffusion and Multifactor Stochastic Processes
Journal of Function Spaces, 2019 In financial markets, there exists long-observed feature of the implied volatility surface such as volatility smile and skew. Stochastic volatility models are commonly used to model this financial phenomenon more accurately compared with the conventional
Shican Liu +3 more
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Implied Distributions from GBPUSD Risk-Reversals and Implication for Brexit Scenarios
Risks, 2017 Much of the debate around a potential British exit (Brexit) from the European Union has centred on the potential macroeconomic impact. In this paper, we instead focus on understanding market expectations for price action around the Brexit referendum date.
Iain J. Clark, Saeed Amen
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