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q-fin.PR2026
Basket implied volatility skew and stickiness
Masaaki Fukasawa, Jun Maeda, Tatsuya Ogiwara
We study the short-maturity implied volatility and the skew stickiness ratio for baskets of assets with continuous, possibly rough, stochastic volatility. The fluctuation of the in…
q-fin.PR2016★ 2 cited
A Market Driver Volatility Model via Policy Improvement Algorithm
Jun Maeda, Saul D. Jacka
In the over-the-counter market in derivatives, we sometimes see large numbers of traders taking the same position and risk. When there is this kind of concentration in the market,…