16:00) generally increases the variability of implied volatility spreads between puts and calls. In addition, it results … in considerable distortions at the outbreak of the COVID-19 pandemic and strongly affects aggregate implied volatility …

volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent claims under both …This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows … the real-world measure and the risk-neutral measure in an environment of stochastic implied volatility. On the basis of …