implied volatility surface. An input implied volatility surface that is not arbitrage-free can result in negative transition …

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

We propose a new semi-parametric model for the implied volatility surface, which incorporates machine learning …

of implied volatilities is neglected. In this paper we analyze the implied volatility surface along maturity slices with … that implied volatility surface dynamics can be traced back to a common eigenstructure in maturity slices. This empirical … result is used to set up a factor model for implied volatility surface dynamics. Copyright Kluwer Academic Publishers 2003 …

interest rate options (the implied volatility surface). We find that the options market exhibits factors independent of the … three additional factors to capture the movement of the implied volatility surface. …