option prices. But some of its assumptions, like constant volatility or log-normal distribution of asset prices,do not find … implied volatility surface. To overcome this problem Carr and Madan (1999) developed a fast method to compute option prices …

, especially on the BS implied volatility. Implied binomialtrees (IBT) models capture the variations of the implied volatility … known as \volatility smile". They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and thestate price density …

allows calculation of future volatility and can be applied to hedging exotic options. … lognormal distributions with constant volatility parameter. In practice volatility changes and the distribution deviates from … derivative of the (European) call price function. The estimator is constrained so as to satisfy no-arbitrage constraints and it …

maximization problem. This solution maps asset volatility and loss givendefault to optimal leverage. By applying nonlinear …

Implied volatility is one of the key issues in modern quantitative finance, since plain vanilla option prices contain … vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely … yield low dimensional representations of the implied volatility surface (IVS). We discussestimation issues of the model and …

Trading, hedging and risk analysis of complex option portfolios depend on accurate pricing models. The modelling of … implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the Black-Scholes (BS) pricing … known as volatility smiles or smirks that contradict the assumption of constant volatility in the BS pricing model. On the …

method in volatility estimation and risk management given simulated and real data. Numerical results show the proposed method …

In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive … and curvature of the swap term structure, we rely on measures of both statistical and economic performance. Whereas the …

employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing …