{"id":"https://openalex.org/W2235239672","doi":"https://doi.org/10.48550/arxiv.0905.2091","title":"Spectral methods for volatility derivatives","display_name":"Spectral methods for volatility derivatives","publication_year":2009,"publication_date":"2009-05-13","ids":{"openalex":"https://openalex.org/W2235239672","doi":"https://doi.org/10.48550/arxiv.0905.2091","mag":"2235239672"},"language":"en","primary_location":{"id":"pmh:oai:arXiv.org:0905.2091","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/0905.2091","pdf_url":"https://arxiv.org/pdf/0905.2091","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"volume":null,"type":"preprint","indexed_in":["arxiv","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/0905.2091","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5066637143","display_name":"Claudio Albanese","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Albanese, Claudio","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":null,"display_name":"Lo, Harry","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Lo, Harry","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":null,"display_name":"Mijatovi\u0107, Aleksandar","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Mijatovi\u0107, Aleksandar","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0003000000142492354,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility-derivatives","display_name":"volatility derivatives","score":0.8769999742507935},{"id":"https://openalex.org/keywords/vix-options","display_name":"VIX options","score":0.8930000066757202},{"id":"https://openalex.org/keywords/implied-volatility-index","display_name":"implied volatility index","score":0.7409999966621399},{"id":"https://openalex.org/keywords/spectral-methods","display_name":"spectral methods","score":0.7929999828338623},{"id":"https://openalex.org/keywords/regime-switching-models","display_name":"regime switching","score":0.7680000066757202},{"id":"https://openalex.org/keywords/local-volatility","display_name":"local volatility","score":0.7850000262260437},{"id":"https://openalex.org/keywords/realized-variance","display_name":"realized variance","score":0.7110000252723694},{"id":"https://openalex.org/keywords/forward-start-options","display_name":"forward start options","score":0.7239999771118164},{"id":"https://openalex.org/keywords/european-options","display_name":"European options","score":0.5410000085830688},{"id":"https://openalex.org/keywords/s-p-500-index-options","display_name":"S&P 500 options","score":0.8029999732971191},{"id":"https://openalex.org/keywords/block-diagonalization","display_name":"block diagonalization","score":0.7789999842643738},{"id":"https://openalex.org/keywords/option-pricing","display_name":"option pricing","score":0.7160000205039978}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6135343909263611},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4473980665206909},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4082306921482086},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3943214416503906},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3249579966068268}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:arXiv.org:0905.2091","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/0905.2091","pdf_url":"https://arxiv.org/pdf/0905.2091","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"doi:10.48550/arxiv.0905.2091","doi":"https://doi.org/10.48550/arxiv.0905.2091","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.0905.2091","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:0905.2091","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/0905.2091","pdf_url":"https://arxiv.org/pdf/0905.2091","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Industry, innovation and infrastructure","score":0.5199999809265137,"id":"https://metadata.un.org/sdg/9"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W4391375266","https://openalex.org/W1979597421","https://openalex.org/W2007980826","https://openalex.org/W2061531152","https://openalex.org/W3002753104","https://openalex.org/W2077600819","https://openalex.org/W2142036596","https://openalex.org/W2072657027","https://openalex.org/W2753588648","https://openalex.org/W2392378997"],"abstract_inverted_index":{"In":[0,51],"the":[1,15,27,43,49,83,87,109,112,119,124,158,162,167],"first":[2],"quarter":[3],"of":[4,14,29,94,101,111,118,177],"2006":[5],"Chicago":[6],"Board":[7],"Options":[8],"Exchange":[9],"(CBOE)":[10],"introduced,":[11],"as":[12],"one":[13],"listed":[16],"products,":[17],"options":[18,41,47,85],"on":[19,42,48,86],"its":[20],"implied":[21],"volatility":[22,75],"index":[23],"(VIX).":[24],"This":[25,151],"created":[26],"challenge":[28],"developing":[30],"a":[31,56,67,91,133,145,175],"pricing":[32,178],"framework":[33],"that":[34],"can":[35],"simultaneously":[36],"handle":[37],"European":[38,84,180],"options,":[39,181],"forward-starts,":[40],"realized":[44,125,168],"variance":[45,184],"and":[46,73,79,96,166,186,188],"VIX.":[50],"this":[52,60,102,141],"paper":[53,103],"we":[54],"propose":[55],"new":[57,146],"approach":[58],"to":[59,82,105,115,135,155],"problem":[61],"using":[62],"spectral":[63],"methods.":[64],"We":[65,139],"use":[66],"regime":[68],"switching":[69],"model":[70],"with":[71],"jumps":[72],"local":[74],"defined":[76],"in":[77,171],"\\cite{FXrev}":[78],"calibrate":[80],"it":[81],"S&P":[88],"500":[89],"for":[90,149],"broad":[92],"range":[93],"strikes":[95],"maturities.":[97],"The":[98,127],"main":[99],"idea":[100],"is":[104,130],"\"lift\"":[106],"(i.e.":[107],"extend)":[108],"generator":[110,129],"underlying":[113,163],"process":[114],"keep":[116],"track":[117],"relevant":[120],"path":[121],"information,":[122],"namely":[123],"variance.":[126],"lifted":[128],"too":[131],"large":[132],"matrix":[134],"be":[136],"diagonalized":[137],"numerically.":[138],"overcome":[140],"difficulty":[142],"by":[143],"applying":[144],"semi-analytic":[147],"algorithm":[148],"block-diagonalization.":[150],"method":[152],"enables":[153],"us":[154,174],"evaluate":[156],"numerically":[157],"joint":[159],"distribution":[160],"between":[161],"stock":[164],"price":[165],"variance,":[169],"which":[170],"turn":[172],"gives":[173],"way":[176],"consistently":[179],"general":[182],"accrued":[183],"payoffs":[185],"forward-starting":[187],"VIX":[189],"options.":[190]},"counts_by_year":[],"updated_date":"2026-08-26T07:47:46.906454","created_date":"2025-10-10T00:00:00"}
