Stochastic Models of Implied Volatility Surfaces

By Rama Cont, José Da Fonseca, Valdo Durrleman. 2002

89 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/288e964ded50e293a796fffa7a3a371ce80826f7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. John C. Hull
2. W. Suo
3. Toby Daglish
4. J. D. da Fonseca
5. Rama Cont
6. Adrien de Larrard
7. Alec N. Kercheval
8. Roger Lee

In Finance

1. John C. Hull
2. J. D. da Fonseca
3. Toby Daglish
4. W. Suo
5. Rama Cont
6. St'ephane Cr'epey
7. Peter Tankov
8. Adrien de Larrard

Citations in the corpus

• Volatility surfaces: theory, rules of thumb, and empirical evidence (2007, methodology): “This is a similar analysis to that undertaken by Kamal and Derman (1997), Skiadopoulos et al. (2000), Cont and Fonseca (2002) and Cont et al. (2002).”
• Dynamics of implied volatility surfaces (2002, methodology): “These points shall be studied in a forthcoming work [12].”