A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this …, neglects the degenerated string structure of the implied volatility data and may result in a severe modelling bias. We propose … value at risk computations and scenario analysis. -- Implied Volatility Surface ; Smile ; Generalized Additive Models …

A primary goal in modelling the implied volatility surface (IVS) for pricing and hedging 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 …

, 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 …

three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …

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

second procedure applies kernel type smoothing in the implied volatility domain. In the conceptually different third approach …

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 …