Articles tagged with: implied volatility

Does currency smirk predict foreign exchange return?

Ariful Hoque, Thi Ngoc Quynh Le, Kamrul Hassan
Investment Management and Financial Innovations Volume 17 2020, Issue #3

Finding the derivative price using the Vasicek model with multidimensional stochastic volatility

Ivan Burtnyak, Anna Malytska
Development Management Volume 17 2019, Issue #4

Calibration of Dupire local volatility model using genetic algorithm of optimization

Maksym Bondarenko, Victor Bondarenko
Neuro-Fuzzy Modeling Techniques in Economics Volume 7 2018, Issue #1

On the non-linear relationship between VIX and realized SP500 volatility

Manuel G. Russon, Ahmad F. Vakil
Investment Management and Financial Innovations Volume 14 2017, Issue #2 (cont. 1)

A conservative discontinuous target volatility strategy

Simone Cirelli, Sebastiano Vitali, Sergio Ortobelli Lozza, Vittorio Moriggia
Investment Management and Financial Innovations Volume 14 2017, Issue #2 (cont. 1)