). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the … indicate that in a statistical sense there remains a possibility that the implied volatility smiles are still not the same … utilizes the dynamic structure of implied volatility surface allowing out-of-sample forecasting and information on unleveraged …

decided by term, excessreturn, and the value volatility of the pledge. Next, we extended the same work to coupon loan and … loan-to-value ratio is a concave decreasing function of the value volatility of the pledge; and the pledged loan …