A new parametric representation of implied volatility surfaces is proposed. The factors adequately capture the moneyness and maturity slopes, the smile attenuation, and the smirk. Furthermore, the implied volatility specification is twice continuously differentiable and well behaved...

This paper analyzes immunization strategies in the mean-variance framework. We characterize the efficient portfolio allocations and identify the minimum variance immunization strategy. We show that the efficient allocations can be superior or inferior to the minimum variance allocation as time...