IDEAS home Printed from https://ideas.repec.org/h/spr/sprfcp/978-1-4471-6506-4_3.html
   My bibliography  Save this book chapter

Volatility Dynamics for a Single Underlying: Advanced Methods

Author

Listed:
  • David Nicolay

Abstract

This chapter is dedicated to generalising the ACE approach and its results. These extensions are performed in several directions, which offer some practical and/or some mathematical interest. First we describe the generic ACE methodology solving the direct problem at an arbitrary order. We then apply this algorithm to compute meaningful IATM differentials, all located within the second and third layers, which we can then exploit and interpret. Next we discuss alternative baselines to Black’s model, and how to transfer IATM information between them. We then introduce a major structural extension, by considering the multi-dimensional framework. We follow the evolution of the inverse and direct problems, and illustrate these results with the case of generic baskets.

Suggested Citation

Handle: RePEc:spr:sprfcp:978-1-4471-6506-4_3
DOI: 10.1007/978-1-4471-6506-4_3
as

Download full text from publisher

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a
for a similarly titled item that would be available.

More about this item

Keywords

;
;
;
;
;

Statistics

Access and download statistics

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprfcp:978-1-4471-6506-4_3. See general information about how to correct material in RePEc.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no bibliographic references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.