Essays about: "Sergey Burnos"

Found 1 essay containing the words Sergey Burnos.

1. 1. SVI estimation of the implied volatility by Kalman filter.

   University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

   Author : Sergey Burnos; ChaSing Ngow; [2010]
   Keywords : Kalman filter; SVI model; implied volatility;

   Abstract : To understand and model the dynamics of the implied volatility smile is essential for trading, pricing and risk management portfolio. We suggest a  linear Kalman filter for updating of the Stochastic Volatility Inspired (SVI) model of the volatility. READ MORE