The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central …-CPF funds by examining the volatility-timing performance associated with these funds. The volatility-timing ability of CPF funds … to capture the response of funds to market abnormal conditional volatility including the weekday effect. The SMB and HML …

based on the superior volatility forecast for analyzing historical data. We extend the current litearure by measuring the … volatility of an underlying asset in the last predefined period and comparing the actual volatility in currency with historical … volatility in currency to make predictions of implied volatility. We calculated stock price volatility through an optimal holding …

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. To achieve this, we parametrize the leverage function by a family … be seen in the context of neural SDEs and (causal) generative adversarial networks: we generate volatility surfaces by …

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can …

subsequent local volatility surface is never considered. In this article, we develop a deep learning approach for interpolation … performance. A novel component is the use of the Dupire formula to enforce bounds on the local volatility associated with option …

this paper, we consider a general class of stochastic volatility models written in forward variance form. We also deal with … volatility model with a Vasicek interest rate model. …

referendum date. Extracting implied distributions from the GBPUSD option volatility surface, we originally estimated, based on …

implied volatility and compare the spline collocation results with those obtained through arbitrage-free interpolation …

stochastic volatility model and Brent’s iterative root-finding method for the calculation of implied volatilities. The numerical …