Ivan Matic

CUNY Baruch College

Assistant Professor

17 Lexington Avenue

New York, NY 10021

United States

Baruch College, City University of New York

Assistant Professor

One Bernard Baruch Way

New York, NY 10010

United States

http://mfe.baruch.cuny.edu/maticivan/

SCHOLARLY PAPERS

4

DOWNLOADS
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Top 36,179

in Total Papers Downloads

2,093

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Tighter Bounds for Implied Volatility

International Journal of Theoretical and Applied Finance, Vol. 20, No. 5, 1750035, 2017
Number of pages: 16 Posted: 24 Feb 2017 Last Revised: 23 Aug 2017
Jim Gatheral, Ivan Matic, Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch College, CUNY Baruch CollegeBaruch College, City University of New York, CUNY Baruch College and Baruch College, City University of New York
Downloads 865 (42,342)
Citation 2

Abstract:

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Implied Volatility, Polya Approximation, Bisection Method

2.

A Sharp Polya-Based Approximation to the Normal CDF

Applied Mathematics and Computation, Volume 322, April 2018, Pages 111–122
Number of pages: 16 Posted: 26 Sep 2016 Last Revised: 25 Jul 2018
Ivan Matic, Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch CollegeBaruch College, City University of New York, CUNY Baruch College and Baruch College, City University of New York
Downloads 522 (81,697)
Citation 2

Abstract:

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Standard Normal CDF, Numerical Approximation

3.

A PDE Method for Estimation of Implied Volatility

Number of pages: 29 Posted: 02 Nov 2018 Last Revised: 24 Nov 2019
Ivan Matic, Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch CollegeBaruch College, City University of New York, CUNY Baruch College and Baruch College, City University of New York
Downloads 501 (85,923)

Abstract:

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Implied Volatility, Partial Differential Equations, Numerical Approximation, Black-Scholes Model, Bachelier Model

4.

Pólya-Based Approximation for the ATM-Forward Implied Volatility

International Journal of Financial Engineering, Vol. 4, Nos. 2 & 3 (2017)
Number of pages: 12 Posted: 05 Apr 2017 Last Revised: 19 Oct 2017
Ivan Matic, Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch CollegeBaruch College, City University of New York, CUNY Baruch College and Baruch College, City University of New York
Downloads 205 (222,929)

Abstract:

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Implied Volatility, Black-Scholes Model, ATM-Forward Options