Concepedia

Volatility Surface Calibration

Volatility Surface Calibration is a computational methodology in derivative pricing that belongs to the class of model calibration techniques, distinguished by its specific aim of constructing a consistent and arbitrage-free volatility surface by fitting a parametric or non-parametric model to observed market prices of options across strikes and maturities.

53

Publications

1.8K

Citations

100

Authors

66

Institutions

Publications per year

2017–2026

17

Parents

Publications

53

Calibrating volatility surfaces via relative-entropy minimization

Marco Avellaneda, Craig A. Friedman, Richard B. Holmes et al. · Applied Mathematical Finance · 1997 · 263 citations

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A perfect calibration! now what?

Wim Schoutens, Erwin Simons, Jurgen Tistaert · Wilmott · 2004 · 189 citations

, , +16

Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models

Blanka Horvath, Aitor Muguruza, Mehdi Tomas · Quantitative Finance · 2020 · 140 citations · Full text

, , +16

Volatility surfaces: theory, rules of thumb, and empirical evidence

Toby Daglish, John Hull, Wulin Suo · Quantitative Finance · 2007 · 95 citations

, , +16

On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix

Riccardo Rebonato · The Journal of Computational Finance · 1999 · 95 citations

, , +15

1–5 of 53

Authors

100

  1. AJ
    Antoine Jacquier

    Imperial College London, United Kingdom

    4 publications · 107 citations

    4

    h-index

  2. HG
    Hamza Guennoun

    Imperial College London, United Kingdom

    3 publications · 93 citations

    3

    h-index

  3. PR
    Patrick Roome

    Imperial College London, United Kingdom

    3 publications · 93 citations

    3

    h-index

  4. JP
    Jorge P. Zubelli

    Instituto Nacional de Matemática Pura e Aplicada, Brazil

    3 publications · 45 citations

    3

    h-index

  5. CC
    Christa Cuchiero

    University of Vienna, Austria

    3 publications · 102 citations

    3

    h-index

1–5 of 100

Institutions

66

  1. École Polytechnique

    Palaiseau, France

    4 h-index

    5 publications

    213 citations

  2. Imperial College London

    London, United Kingdom

    4 h-index

    5 publications

    202 citations

  3. University of Toronto

    Toronto, Canada

    4 h-index

    8 publications

    199 citations

  4. Morgan Stanley (United States)

    New York, United States

    3 h-index

    3 publications

    88 citations

  5. Instituto Nacional de Matemática Pura e Aplicada

    Rio de Janeiro, Brazil

    3 h-index

    4 publications

    56 citations

  6. Victoria University of Wellington

    Wellington, New Zealand

    2 h-index

    2 publications

    109 citations

  7. Queen's University

    Kingston, Canada

    2 h-index

    2 publications

    109 citations

  8. Sorbonne Université

    Paris, France

    2 h-index

    2 publications

    36 citations

1–8 of 66

Venues

  1. SSRN Electronic Journal

    Repository · 13 publications · 274 citations

    12

    h-index

  2. Quantitative Finance

    6 publications · 307 citations

    6

    h-index

  3. The Journal of Computational Finance

    3 publications · 127 citations

    3

    h-index

  4. SIAM Journal on Financial Mathematics

    3 publications · 109 citations

    3

    h-index

  5. Wilmott

    3 publications · 223 citations

    3

    h-index

1–5