to cointegration. -- implied volatility surface ; dynamic semiparametric factor model ; VAR ; cointegration …As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because …

In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility … calibration algorithm is FFT based, so fast and easy to implement. -- Libor modelling ; stochastic volatility ; CIR processes …

, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility … known as "volatility smile". They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and the state price density …

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the … process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists …. -- Heston model ; vanilla option ; stochastic volatility ; Monte Carlo simulation ; Feller condition ; option pricing with FFT …

are obtained and applied to numerically analyze the impact of the agents' risk aversion on the implied volatility of … pricing ; implied volatility. …

). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the … indicate that in a statistical sense there remains a possibility that the implied volatility smiles are still not the same … utilizes the dynamic structure of implied volatility surface allowing out-of-sample forecasting and information on unleveraged …

specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading … ; volatility ; liquidity ; high-frequency data …