Zeliade Implied Vol Channel

Synopsis

Welcome to Zeliade Implied Vol Channel on Zanadu !!! This channel provides state-of-art material on implied volatility computation and modeling. For Quants, consultants, regulators, business schools, lecturers, researchers.

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Dependency of SVI with respect to the σ parameter.

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Dependency of SVI with respect to the ρ parameter.

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SVI calibration on market data from 31st October 2013 for options on the Euro-Schatz futures contract (OGBS) expiring in 22 days.

Custom License

Copyright 2016 Zeliade Systems. All Rights Reserved.

Python name

The python name of the channel is: ZeliadeImpliedVol