). 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 …

digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading …

this calibration risk in a time series of DAX implied volatility surfaces from April 2003 to March 2004. We analyze in the … functional. Moreover, we determine the model risk of these two stochastic volatility models for the time series and consider its …

market data to SVI-implied volatility surfaces, which in turn are used to price options. To cover a wide range of market … model (stochastic volatility with correlated jumps). The second approach simulates paths from a GARCH-filtered kernel … volatility, low jump intensity and evidence of infinite activity. With the exception of short-dated options, a consistently good …

On the temperature derivative market, modeling temperature volatility is an important issue for pricing and hedging. In … describe the volatility process well. Therefore, we consider a local adaptive modeling approach to find at each time point, an … optimal smoothing parameter to locally estimate the seasonality and volatility. Our approach provides a more flexible and …