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Predicting Future Implied Volatility Surface Using TDBP-Learning

Bloch, Daniel Alexandre; Böök, Arthur - 2021

Parametric volatility models can be seen as the result of some form of dimensionality reduction obtained by projecting the volatility surface into a basis of risk factors. Examples include polynomial models and stochastic volatility models having an explicit expression for the smile, such as the...

Persistent link: https://www.econbiz.de/10013221719