The implied volatility surface (IVS) is a fundamental building block in computational finance.
We provide a survey of methodologies for constructing such surfaces. We also discuss …

Features trading strategies for a variety of asset classes and trading styles including stocks,
options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles …

We identify a global risk factor in the cross-section of implied volatility returns in currency
markets. A zero-cost strategy that buys forward volatility agreements with downward sloping …

This book gives a systematic introduction to the basic theory of financial mathematics, with
an emphasis on applications of martingale methods in pricing and hedging of contingent …

We prove here a general closed-form expansion formula for forward-start options and the
forward implied volatility smile in a large class of models, including the Heston stochastic …

ABSTRACT Bank Indonesia Regulation No. 18/18/PBI/2016 concerning foreign exchange
transactions against rupiah between banks and domestic parties, indicates that the …

In this paper we investigate the asymptotics of forward-start options and the forward implied
volatility smile in the Heston model as the maturity approaches zero. We prove that the …

For the calibration of the parameters in static and dynamic SABR stochastic volatility models,
we propose the application of the GPU technology to the Simulated Annealing global …

In this paper, we introduce the concept of standardized call function and we obtain a new
approximating formula for the Black and Scholes call function through the hyperbolic …

In real markets, generating a smooth implied volatility surface requires an interpolation of the
calibrated parameters by using smooth parametric functions. For this interpolation …