Joint Dynamics for Risk Management
The paper introduces a dynamic model of the implied volatility surface and its underlying asset, showcasing its utility as a risk management tool and its capability to accurately predict the VIX distribution.
Featured in No. 48 on 8 May 2024 ·
- Released
- 9 Jan 2023
- First featured
- No. 48 · 8 May 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4814546
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