smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2016SMQ / 33293771894628
On the second derivative of the at-the-money implied volatility in stochastic volatility models
Elisa Alòs / Jorge A. León
stochastic calculus / stochastic processesResource overview

On the second derivative of the at-the-money implied volatility in stochastic volatility models

Paper2016

by Elisa Alòs, Jorge A. León

Tags
stochastic calculusstochastic processes

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for volatility models and surfaces and stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. Conditional Expectation

    Understand what it means to condition on current information.

Go further

  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Advanced Derivatives and Exotic Options Explore Derivatives Pricing and Computational Finance

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Elisa Alòs, Jorge A. León

6