financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

In this paper we propose a Libor model with a high-dimensional speciallystructured system of driving CIR volatility …

The volatility implied by observed market prices as a function of the strikeand time to maturity form an Implied … Volatility Surface (IV S). Practicalapplications require reducing the dimension and characterize its dynamicsthrough a small … investigating long range dependencein the factor loadings series. Our result reveals that shocks to volatility persistfor a very …

market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor …

The implied volatility of a European option as a function of strike price and time to maturity forms a volatility … semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space,allowing for a low …

Implied volatility is one of the key issues in modern quantitative finance, since plain vanilla option prices contain … yield low dimensional representations of the implied volatility surface (IVS). We discussestimation issues of the model and …

A primary goal in modelling the implied volatility surface (IVS) for pricing andhedging aims at reducing complexity … approach, however, neglects the degenerated string structure of the implied volatility data and may result in a modelling bias … generalized vega-hedging strategy for exotic options that are priced in the local volatility framework. The generalized vega …

The pricing accuracy and pricing performance of local volatility models cruciallydepends on absence of arbitrage in the … implied volatility surface: an input impliedvolatility surface that is not arbitrage-free invariably results in negative … volatility surface cannot guarantee the absence arbitrage. Here, we propose an approach for smoothing the implied volatility …