Valdo Durrleman

Princeton University - Department of Operations Research and Financial Engineering

Princeton, NJ 08544

United States

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Stochastic Models of Implied Volatility Surfaces

Economic Notes, Vol. 31, No. 2, July 2002
Number of pages: 16 Posted: 28 Apr 2003
Rama Cont, Valdo Durrleman and José Da Fonseca
University of Oxford, Princeton University - Department of Operations Research and Financial Engineering and Auckland University of Technology - Faculty of Business & Law
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Abstract:

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Implied volatility, volatility risk, risk management, portfolios of options