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most citedCatBoost model with synthetic features in application to loan risk assessment of small businesses

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q-fin.PR2024

Understanding Short-Term Implied Volatility Dynamics: A Model-Independent Approach Beyond Stochastic Volatility

Liexin Cheng, Xue Cheng

This paper examines the short-term asymptotic behavior of the implied volatility surface, focusing on the at-the-money (ATM) skew and curvature. Rather than committing to a specifi…