no code implementations • 24 Jan 2023 • Kenichiro Shiraya, Tomohisa Yamakami
This method can easily reproduce the volatility smile of cross currency pairs by appropriately adjusting the parameters and following the daily volatility fluctuations even if the higher-order parameters are fixed.
no code implementations • 21 Jul 2022 • Elisa Alòs, Frido Rolloos, Kenichiro Shiraya
This paper shows the relationship between the forward start volatility swap price and the forward start zero vanna implied volatility of forward start options in rough volatility models.
no code implementations • 11 Dec 2019 • Elisa Alos, Frido Rolloos, Kenichiro Shiraya
In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilities driven by fractional noise.
