We present a highly mechanical method for the construction of implied volatility surface and implied transition probability density function that satisfies the no arbitrage condition(NAC) under missing data environment. This paper assumes a Dupire's model which is a simple extension of the...

Time delay in communication(information) flow is often found in many network systems. Inspired by volatility spillovers and clustering explained by “flocking” mechanism, we study the effect of the time delay in our model system of heterogeneous stock returns' volatilities. Our model is a...

In this study, we analyze the flocking pattern of stock volatilities according to the Cucker–Smale mechanism. We investigate the movement of a flock based on volatilities' time-varying coupling strength, and stochastic noise in coupling. The Volatility Flocking Index (VFI) summarizes the...

This paper proposes a new innovative method for the calibration of local volatility under Dupire's model. First, our proposed method approximates the Arrow-Debreu(AD) prices on the finite difference nodes as a low-dimensional function based on implied distribution estimation. This makes the...