In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility … calibration algorithm is FFT based, so fast and easy to implement. -- Libor modelling ; stochastic volatility ; CIR processes …

along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …

under a broad class of stochastic volatility models. Based on this formula, we propose a closed-form approximation of the … implied volatility smile. Numerical examples suggest that our approximation is accurate in the absence of mean-reversion in … stochastic volatility …

Brownian motion. -- asymptotic uniformity ; local limit theorem ; volatility …

stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …

, 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 …

prices, which translates into skew and smile patterns for implied volatility curves even under constant volatilities … the market. collateral requirements, funding costs, volatility smile, option pricing …

dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the …

Black-Scholes formula for pricing the call option. The asset's volatility is a linear function of the asset value and the … solved for level-dependent volatility which is a quadratic polynomial. If zero is attainable, both absorption and negative … for an asset whose volatiliy is affine, the formula for the Bachelier model with constant volatility, and new formulae in …