We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable …. In particular, we explore the possibility that the dynamics of the implied volatility surface of individual equity … options may be associated with movements in the volatility surface of S&P 500 index options. We present evidence of strong …

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 …: the spot price, the set of time-to-maturity, the trading volume, some external noise factors, the estimated volatility …