Deterministic Volatility Functions - wilmott.com

Serving the Quantitative Finance Community

Post Reply


stevelo: Posts: 0; Joined: January 14th, 2006, 9:31 pm

Deterministic Volatility Functions

Quote
#1

September 1st, 2007, 7:00 pm

Can someone please help me with some deterministic volatility functions to model and quantify slope and convexity of a volatility curve.RegardsSteve.


lesliejinyu: Posts: 0; Joined: May 7th, 2004, 7:45 pm

Deterministic Volatility Functions

Quote
#2

September 1st, 2007, 9:26 pm

http://faculty.fuqua.duke.edu/~mbrandt/ ... e.pdfmaybe the above and its reference help.