centre for microdata methods and practice

ESRC centre

cemmap is an ESRC research centre

ESRC

Keep in touch

Subscribe to cemmap news

Implied Stochastic Volatility Models by Yacine Ait-Sahalia

Date: 12:30 30 April 2019 - 13:30 30 April 2019
Type: Seminar
Speaker: Yacine Ait-Sahalia Princeton
Venue: Institute for Fiscal Studies
Prices: Free

Description

This paper proposes to build "implied stochastic volatility models" designed to fit option-implied volatility data, and implements a method to construct such models. The method is based on explicitly linking shape characteristics of the implied volatility surface to the specification of the stochastic volatility model. We propose and implement parametric and nonparametric versions of implied stochastic volatility models.

 

Please click here for the paper. 

General information

Click here to request a place at this event and view our booking terms and conditions.

Search cemmap

Search by title, topic or name.

Contact cemmap

Centre for Microdata Methods and Practice

How to find us

Tel: +44 (0)20 7291 4800

E-mail us