Dynamics of implied volatility surfaces
By Rama Cont, J. D. da Fonseca. 2002
453 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/a55be404fc04280bd01820fe4142e827d9ba6d5d
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
- Peter Tankov
- Peter K. Friz
- Roger Lee
- J. D. da Fonseca
- Martino Grasselli
- Jim Gatheral
- George Skiadopoulos
- Nikolaos Panigirtzoglou
In Finance
- Peter Tankov
- Peter K. Friz
- Roger Lee
- J. D. da Fonseca
- Rama Cont
- Martino Grasselli
- Jim Gatheral
- Nikolaos Panigirtzoglou
Citations in the corpus
- Robustly Hedging Variable Annuities with Guarantees under Jump and Volatility Risks (2007, background): “Cont et al [13] observe that, for major indices including S&P 500, the implied volatility surface changes dynamically over time in a way that is not taken into account by current modeling approaches, giving rise to ”Vega” risk in option portfolios.”
- Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation (2005, methodology): “According to Cont and da Fonseca’s [15] analysis of SP500 and FTSE data, the empirical features of implied volatility include the following: Three principal components explain most of the daily variations in implied volatility: one eigenmode reflecting an overall (parallel) shift in the level, anoth”
- The implied volatility smirk (2008, background): “Dennis and Mayhew (2002) empirically study the cross-sectional behaviour of the implied volatility smirk, in particular the relation between the risk-neutral skewness implied by individual stock options and the beta of the stock.”
- Valuation of volatility derivatives as an inverse problem (2005, background): “For background on how such implied volatility surfaces look and how they move around, see Cont and Fonseca (2002).”
- Statistical arbitrage in the US equities market (2008, unknown): “The empirical correlation matrix of the data is defined by ρij = 1 M − 1 M∑ k=1 YikYjk, (8) which is symmetric and non-negative definite.”
- A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options (2004, methodology): “Hence, we construct constant-horizon PDFs by using the extracted implied PDFs [see also Coutant et al. (2001), for a similar approach].”
- A multifactor volatility Heston model (2008, methodology): “1 The Laplace transform of the asset returns Following Duffie, Pan and Singleton (2000), in order to solve the pricing problem for plain vanilla options we just need the Laplace transform of the process (4).”