The dynamics of implied volatilities: a common principal components approach
From MaRDI portal
Publication:1417894
DOI10.1007/s11147-004-4810-8zbMath1059.91038OpenAlexW3124631790WikidataQ56482428 ScholiaQ56482428MaRDI QIDQ1417894
Christophe Villa, Matthias R. Fengler, Wolfgang Karl Härdle
Publication date: 6 January 2004
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-004-4810-8
Related Items
A survey of functional principal component analysis, How should a local regime-switching model be calibrated?, Robust estimators under a functional common principal components model, Implied volatility smoothing at COVID-19 times, A two-step framework for arbitrage-free prediction of the implied volatility surface, It only takes a few moments to hedge options, Static versus dynamic hedges: an empirical comparison for barrier options, Dynamics of implied volatility surfaces, On extracting information implied in options, Implied volatility and state price density estimation: arbitrage analysis, Common functional principal components, Model-driven statistical arbitrage on LETF option markets, Smoothed L-estimation of regression function, Dynamics of foreign exchange implied volatility and implied correlation surfaces, Dynamic credit default swap curves in a network topology, Selecting the best forecasting-implied volatility model using genetic programming, Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Lean trees -- a general approach for improving performance of lattice models for option pricing
- On a general class of one-factor models for the term structure of interest rates
- A note on the forward measure
- Convergence of discrete time option pricing models under stochastic interest rates
- When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?
- Interest Rate Dynamics and Consistent Forward Rate Curves
- A Note on the Nelson-Siegel Family
- A Theory of the Term Structure of Interest Rates
- SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
- SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM
- Bond, futures and option evaluation in the quadratic interest rate model
- Changes of numéraire, changes of probability measure and option pricing
- Stochastic Calculus
- An equilibrium characterization of the term structure
- Arbitrage Theory in Continuous Time
- Interest rate models -- theory and practice
