use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …

This work is to implement in Python the SABR volatility model for swaptions and its calibration. The attached script …

This paper addresses several theoretical and practical issues in option pricing and implied volatility calibration in a … volatility term structure when the Hurst exponent is not 0.5, and also that one-year implied volatility is independent of Hurst … exponent and equivalent to fractional volatility. Building on these observations, we introduce a novel 8-parameter fractional …

This article proposes a simple and intuitive framework to combine a discrete volatility forecast series produced by a …-combining binomial trees that capture the distributional properties of the volatility forecasts. Finally, the framework is employed to …

Although the effect of interest rate stochasticity can safely be ignored for short-dated exchange traded volatility … institutions. We therefore extend existing model-free results for the pricing of variance swaps and more general volatility …