How Implied Volatility (IV) Works With Options and Examples

Implied volatility (IV) is a market's forecast that is often used to help traders determine the correct trading strategies ...
Risk

Modeling realized volatility with implied volatility for the EUR/GBP exchange rate

This paper concerns the application of implied volatility in modeling realized volatility in the daily, weekly and monthly horizon using high-frequency data for the EUR/GBP exchange rate. The EUR/GBP ...
JSTOR Daily

A Methodology for Assessing Model Risk and Its Application to the Implied Volatility Function Model

We propose a methodology for assessing model risk and apply it to the implied volatility function (IVF) model. This is a popular model among traders for valuing exotic options. Our research is ...
EurekAlert!

Higher-order spline outperforms Wall Street model in forecasting China’s implied volatility

We can see the difference between SVI and spline more clearly here. As expected, SVI curves show nice “smiles.” On the other hand, the spline follows the datapoints more closely but can go only as far ...
San Francisco Fed

Replicating and Projecting the Path of COVID-19 with a Model-Implied Reproduction Number

We demonstrate a methodology for replicating and projecting the path of COVID-19 using a simple epidemiology model. We fit the model to daily data on the number of infected cases in China, Italy, the ...