The behavior of the implied volatility surface for European options was analyzed in details in [Zumbach and Fernandez …, and given by a volatility forecast in the time-to-maturity direction. This difference is the basis of a cross … the option arbitrage price in order to compute realistic implied volatility surfaces. Finally, the cross …

simulating a trading strategy based on under- and over-pricing, and examining the informational content of the volatility implied …

the slope and volatility of LIBOR rates, and mortgage markets activities have strong impacts on the shape of the forward …, respectively. Our results provide nonparametric evidence of unspanned stochastic volatility and suggest that the unspanned factors …

analyse market expectations and volatility during political and economic events …

new market, we present a novel pricing formula designed to capture the shape of the 0DTE implied volatility surface both … volatility dynamics driven, in particular, by leverage and the volatility-of-volatility). The latter result hinges on an … (through leverage) and time-varying kurtosis (through the volatility-of-volatility). The expansion is local in time and …

portfolio selection, capital asset pricing, pricing of derivative securities, credit risk, loan guarantees, financial innovation …

volatility of the underlying assets, as well as to their correlations. The call versus call is a product commonly used to trade …

derivative. Numerical examples are provided for a marked point process with conditionally Gaussian and with conditionally CGMY …