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Applied Mathematical Finance Volume 4, 1997 - Issue 2
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Editorials

An E-ARCH model for the term structure of implied volatility of FX options

Yingzi Zhu Courant Institute of Mathematical Sciences, New York University, 251 Mercer Street, New York, NY, 10012, USA
&
Marco Avellaneda Courant Institute of Mathematical Sciences, New York University, 251 Mercer Street, New York, NY, 10012, USA
Pages 81-100 | Published online: 24 May 2006

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Jin E. Zhang & Yi Xiang. (2008) The implied volatility smirk. Quantitative Finance 8:3, pages 263-284.
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Rama Cont & José da Fonseca. (2002) Dynamics of implied volatility surfaces. Quantitative Finance 2:1, pages 45-60.
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Articles from other publishers (20)

Lidija Lovreta & Florina Silaghi. (2020) The surface of implied firm’s asset volatility. Journal of Banking & Finance 112, pages 105253.
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Jia Yue & Nan-jing Huang. (2018) Fractional Wishart processes and -fractional Wishart processes with applications . Computers & Mathematics with Applications 75:8, pages 2955-2977.
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George Dotsis. (2017) The market price of risk of the variance term structure. Journal of Banking & Finance 84, pages 41-52.
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Georgios Chalamandaris & Andrianos E. Tsekrekos. (2012) Explanatory Factors and Causality in the Dynamics of Volatility Surfaces Implied from OTC Asian?Pacific Currency Options. Computational Economics 41:3, pages 327-358.
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Wafa Abdelmalek, Sana Ben Hamida & Fathi Abid. (2009) Selecting the Best Forecasting-Implied Volatility Model Using Genetic Programming. Journal of Applied Mathematics and Decision Sciences 2009, pages 1-19.
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Lamya Kermiche. (2009) Une modélisation de la surface de volatilité implicite par processus à sauts. Finance Vol. 29:2, pages 57-101.
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T. F. Coleman, Y. Kim, Y. Li & M. Patron. (2007) Robustly Hedging Variable Annuities With Guarantees Under Jump and Volatility Risks. Journal of Risk & Insurance 74:2, pages 347-376.
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YINGZI ZHU & JIN E. ZHANG. (2012) VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING. International Journal of Theoretical and Applied Finance 10:01, pages 111-127.
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S. Borak, M. Fengler & W. Hardle. (2005) DSFM fitting of implied volatility surfaces. DSFM fitting of implied volatility surfaces.
Scott Mixon. (2002) Factors explaining movements in the implied volatility surface. Journal of Futures Markets 22:10, pages 915-937.
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Rama Cont & José da Fonseca. 2002. Empirical Science of Financial Fluctuations. Empirical Science of Financial Fluctuations 230 239 .
Alpha Sylla & Christophe Villa. 2000. Measuring Risk in Complex Stochastic Systems. Measuring Risk in Complex Stochastic Systems 131 148 .
Paul Wilmott & Asli Oztukel. (2011) Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits. International Journal of Theoretical and Applied Finance 01:01, pages 175-189.
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Yingzi Zhu & Jin E. Zhang. (2005) Variance Term Structure and VIX Futures Pricing. SSRN Electronic Journal.
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Jia Yue, Ming-hui Wang, Nan-jing Huang & Ben-zhang Yang. (2022) Asset Prices with Investor Protection and Survival Analysis of Shareholders in the Cross-Sectional Economy. SSRN Electronic Journal.
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Matthias R. Fengler & Enno Mammen. (2005) A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics. SSRN Electronic Journal.
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Szymon Borak & Matthias R. Fengler. (2005) DSFM Fitting of Implied Volatility Surfaces. SSRN Electronic Journal.
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Lamya Kermiche. (2012) Recent Developments in Options Theory: From Black-Scholes to Market Models. SSRN Electronic Journal.
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Dimitri Reiswich & Robert Tompkins. (2011) Potential PCA Interpretation Problems for the Dynamics of Financial Market Data. SSRN Electronic Journal.
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Florian Ielpo & Guillaume Simon. (2010) Mean-reversion Properties of Implied Volatilities. SSRN Electronic Journal.
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