Keywords: semiparametric models, factor models, implied volatility surface, vector autore- gressive process, asymptotic … nancial engineering, it is common to analyze the dynamics of implied volatility surface for pricing exotic options. A …

semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space, allowing for a low …

semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space, allowing for a low … the implied volatility surface (IVS) in a finite dimensional function space, allowing for a low dimensional factor … some macroeconomic variables of the Euro - economy. Keywords: Implied volatility surface, dynamic semiparametric factor …

- quet options. Key words: calibration, data design, implied volatility surface, Heston model, cliquet option JEL codes: C80 ….5 1 1.5 2 2.5 3 3.5 4 4.5 5 time to maturity Figure 1: Grid of the DAX implied volatility surface of the EUREX on March 1 … a good fit if there are enough data points. But in general implied volatility surface do not have enough data points for …

the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in … algorithms of the implied volatility surface cannot guarantee the absence arbitrage. Here, we propose an approach for smoothing …