Bibliografia

Aurell, Alexander. 2014. “The Svi Implied Volatility Model and Its Calibration.” Master’s thesis, Kungliga Tekniska Högskolan.

Bates, David S. 1996. “Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options.” The Review of Financial Studies 9 (1). Oxford University Press:69–107.

Benaim, Shalom, Matthew Dodgson, and Dherminder Kainth. 2008. “An Arbitrage-Free Method for Smile Extrapolation.” Royal Bank of Scotland, Technical Report.

Bishop, Christopher M. 2006. Pattern Recognition and Machine Learning. springer.

Black, Fischer, and Myron Scholes. 1973. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy 81 (3). The University of Chicago Press:637–54.

Breeden, Douglas T, and Robert H Litzenberger. 1978. “Prices of State-Contingent Claims Implicit in Option Prices.” Journal of Business. JSTOR, 621–51.

De Marco, S, and C Martini. 2009. “Quasi-Explicit Calibration of Gatheral’s Svi Model’.” Zeliade White Paper, 1–15.

Derman, Emanuel, and Iraj Kani. 1994. “The Volatility Smile and Its Implied Tree.” Goldman Sachs Quantitative Strategies Research Notes 7 (January).

———. 1998. “Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility.” International Journal of Theoretical and Applied Finance 01 (01):61–110. https://doi.org/10.1142/S0219024998000059.

Duffie, Darrell, Jun Pan, and Kenneth Singleton. 2000. “Transform Analysis and Asset Pricing for Affine Jump-Diffusions.” Econometrica 68 (6). Wiley Online Library:1343–76.

Dupire, Bruno. 1994. “Pricing with a Smile.” Risk 7 (1):18–20.

Fengler, Matthias R. 2012. “Option Data and Modeling Bsm Implied Volatility.” In Handbook of Computational Finance, 117–42. Springer.

Friedman, Jerome, Trevor Hastie, and Robert Tibshirani. 2001. The Elements of Statistical Learning. 10. Springer series in statistics New York.

Gatheral, Jim. 2004. “A Parsimonious Arbitrage-Free Implied Volatility Parameterization with Application to the Valuation of Volatility Derivatives.” Presentation at Global Derivatives & Risk Management, Madrid.

———. 2011. The Volatility Surface: A Practitioner’s Guide. Vol. 357. John Wiley & Sons.

Gatheral, Jim, and Antoine Jacquier. 2014. “Arbitrage-Free Svi Volatility Surfaces.” Quantitative Finance 14 (1). Taylor & Francis:59–71.

Hagan, Patrick S, Deep Kumar, Andrew S Lesniewski, and Diana E Woodward. 2002. “Managing Smile Risk.” The Best of Wilmott 1:249–96.

Heston, Steven L. 1993. “A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.” The Review of Financial Studies 6 (2). Oxford University Press:327–43.

Hutchinson, James M, Andrew W Lo, and Tomaso Poggio. 1994. “A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks.” The Journal of Finance, no. 3. Wiley Online Library:851–89.

Huynh. 2018. “Modelling and Forecasting Implied Volatility Using Neural Network.” Hanken School of Economics.

Kahalé, Nabil. 2004. “An Arbitrage-Free Interpolation of Volatilities.” Risk 17 (5):102–6.

Lee, Roger W. 2004. “The Moment Formula for Implied Volatility at Extreme Strikes.” Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics 14 (3). Wiley Online Library:469–80.

McCulloch, Warren S, and Walter Pitts. 1943. “A Logical Calculus of the Ideas Immanent in Nervous Activity.” The Bulletin of Mathematical Biophysics 5 (4). Springer:115–33.

Merton, Robert C. 1976. “Option Pricing When Underlying Stock Returns Are Discontinuous.” Journal of Financial Economics 3 (1-2). Elsevier:125–44.

Rogers, Leonard CG, and MR Tehranchi. 2010. “Can the Implied Volatility Surface Move by Parallel Shifts?” Finance and Stochastics 14 (2). Springer:235–48.

Wang, Y, H Yin, and L Qi. 2004. “No-Arbitrage Interpolation of the Option Price Function and Its Reformulation.” Journal of Optimization Theory and Applications 120 (3). Springer:627–49.