The dynamics of implied volatilities: a common principal components approach

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

zbMATH Keywords

smilefactor modelimplied volatility surface

Mathematics Subject Classification ID

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