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We propose a new model for the forecasting of both the implied volatility surfaces and the underlying asset price.
Frequency distribution of the values of the correlation coefficient in samples from an indefinitely large population
R. A. Fisher · 1915
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The pricing of options and corporate liabilities
F. Black and M. Scholes · 1973
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Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation
D. Heath, R. Jarrow, and A. Morton · 1992
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The market model of interest rate dynamics
A. Brace, D. Gatarek, and M. Musiela · 1997
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Relative pricing of options with stochastic volatility
O. Ledoit and P. Santa-Clara · 1998
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A market model for stochastic implied volatility
P. J. Schönbucher · 1999
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Do call prices and the underlying stock always move in the same direction?
G. Bakshi, C. Cao, and Z. Chen · 2000
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The dynamics of the S&P 500 implied volatility surface
G. Skiadopoulos, S. Hodges, and L. Clewlow · 2000
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Market model of stochastic implied volatility with application to the bgm model
A. Brace, B. Goldys, F. Klebaner, and R. Womersley · 2001
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Towards a theory of volatility trading
P. Carr and D. Madan · 2001
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Dynamics of implied volatility surfaces
R. Cont and J. da Fonseca · 2002
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Stochastic models of implied volatility surfaces
R. Cont, J. da Fonseca, and V. Durrleman · 2002
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The dynamics of implied volatilities: A common principal components approach
M. R. Fengler, W. K. Härdle, and C. Villa · 2003
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A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives
J. Gatheral · 2004
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The moment formula for implied volatility at extreme strikes
R. W. Lee · 2004
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A factor-based stochastic implied volatility model
R. Hafner and B. Schmid · 2005
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The range of traded option prices
M. H. A. Davis and D. G. Hobson · 2007
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A semiparametric factor model for implied volatility surface dynamics
M. R. Fengler, W. K. Härdle, and E. Mammen · 2007
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Long memory persistence in the factor of implied volatility dynamics
W. K. Härdle and J. Mungo · 2007
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Term structures of implied volatilities: Absence of arbitrage and existence results
M. Schweizer and J. Wissel · 2008
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Oxford-man institute’s realized library
G. Heber, A. Lunde, N. Shephard, and K. Sheppard · 2009
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Parameter estimation and bias correction for diffusion processes
C. Y. Tang and S. X. Chen · 2009
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Risk-neutral compatibility with option prices
J. Jacod and P. Protter · 2010
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A comparison of biased simulation schemes for stochastic volatility models
R. Lord, R. Koekkoek, and D. Van Dijk · 2010
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Tangent models as a mathematical framework for dynamic calibration
R. Carmona and S. Nadtochiy · 2011
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No arbitrage SVI
C. Martini and A. Mingone · 2022
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No arbitrage global parametrization for the eSSVI volatility surface
A. Mingone · 2022
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Volatility index methodology: Cboe volatility index
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Simulation of arbitrage-free implied volatility surfaces
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Yet another analysis of the SP500 at-the-money skew: Crossover of different power-law behaviours
J. Delemotte, S. D. Marco, and F. Segonne · 2023
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Arbitrage-free svi volatility surfaces
J. Gatheral and A. Jacquier · 2014
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Gaussian estimation for discretely observed Cox-Ingersoll-Ross model
C. Wei, H. Shu, and Y. Liu · 2016
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Simulation of implied volatility surfaces via tangent Lévy models
R. Carmona, Y. Ma, and S. Nadtochiy · 2017
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The extended SSVI volatility surface
S. Hendriks and C. Martini · 2017
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Volatility is rough
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Joint dynamics for the underlying asset and its implied volatility surface: a new methodology for option risk management
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Does the term-structure of equity at-the-money skew really follow a power law?
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Volatility is (mostly) path-dependent
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