<r>Hi, Im wondering if anyone could share the following paper:A new formula for computing implied volatilityhttp://<URL url="http://www.sciencedirect.com/science/article/pii/S0096300305000032by"><LINK_TEXT text="www.sciencedirect.com/science/article/p ... 05000032by">www.sciencedirect.com/science/ar...

<t>Thanks Orbit, I got it, so basically the shifted model has only one additional parameter, alpha. A0 could be derived from S0 and alphaanother question, have you tried to implement their model. I did, and found 2 problems bother me:1. I tried to product figures in their paper, but my results are a...

<t>Hello,please help. I am working on Brigo&Mercurio 2002 lognormal mixture model. And I am a little confused about their "shifted model"--see section 4, shifting the distributionIn figure 5, they provide an example, the calibration to a caplet data. And finally they obtain the parameters for la...

<t>Hello, I am trying to implement the implied vol model given in " lognormal-mixture dynamics and calibration to volatility smiles and skews", Damiano Brigo, Gianvittorio Mauri & Fabio MercurioAnyone could share his/her experience on this issue? It would be great if someone would shed the light...

<t>brilliant! Thanks VivienB, I ll give a try.Personally I am implementing the model in "a class of term structures for SVI implied volatility" by Sebastien Gurrieri. I ll compare the results with the method you mentioned and keep updating this thread.Btw, you mentioned the SVI interpolated volatili...

<t>Thanks VivienB. I went through this article several years ago when I was at school, but haven`t got time to implement. I ll give a try.But I was thinking this may be an approach totally different with SVI. We can either use a nonparametric way like this "volatility interpolation" article use, or ...

the raw SVI is only for one time slice, how to interpolate between different expiry? (free of calender arbitrage or not?)cheers

Thanks BramJ!Nice forum, really appreciate. I've found a interesting thread and will dig into itCheers

directly use finminsearch function in matlab (Nelder-Mead), givesa = -0.3985 b = 1.1201rho = -0.1141m = 0.0779sigma = 0.3846which are different from what you guys get. I am wondering if there is any smart optimization tricks involved?

<t>Hello, sorry for this simple question.I went through all threads related SVI parameter fitting, some people suggest using a smart initial guess from axel vogt`s paper, but unfortunately I can`t find more information. It would be great if you could point out where I can find this paper(name,link, ...

thanks BramJ, just to confirm: so time to maturity is not used in this example?I tried, using Underlying: 84.16652402 as F_T, but the result is a little bit different

<t>Sorry still feel confused....In the information provided, which price should I use as F_T? (define x as log moneyness i.e, x = log(strike/F_T))Thanks for any suggestionscheersQuoteOriginally posted by: almostcutmyhairHi there,I'm having problems fitting SVI to the following data:Strikes: 112.7347...

<t>sorry for this simple question. If I understand correctly, SVI use log moneyness x = log(strike/F_T), where F_T is forward price i.e F_T = S_0*exp((r-d)*T)I am wondering why in this example there`s no information for me to calculate F_T. I have time to maturity but there`s no r and d(risk free ra...

<t>QuoteOriginally posted by: bearishBlack did not assume no margins, but rather that interest rates were deterministic. That, along with no arbitrage and no transaction costs is sufficient for the conclusion that the futures price equals the forward price.Maybe I am incorrect, but I think in Black7...

<t>In Black 76 formula, b = r-q = 0, how to understand this in an intuitive way? Is this try if there`s margin cost and transaction cost?From formula it looks like Black76 formula is just Black Scholes if you think future is a stock with q=r, but I really can not understand the mechnisiam behind it....