{"id":"https://openalex.org/W4392655003","doi":"https://doi.org/10.1007/s10287-024-00505-2","title":"Using interpolated implied volatility for analysing exogenous market changes","display_name":"Using interpolated implied volatility for analysing exogenous market changes","publication_year":2024,"publication_date":"2024-03-11","ids":{"openalex":"https://openalex.org/W4392655003","doi":"https://doi.org/10.1007/s10287-024-00505-2"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-024-00505-2","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-024-00505-2","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-024-00505-2.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s10287-024-00505-2.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5019864034","display_name":"Mat\u00fa\u0161 Maciak","orcid":"https://orcid.org/0000-0002-9414-2151"},"institutions":[{"id":"https://openalex.org/I21250087","display_name":"Charles University","ror":"https://ror.org/024d6js02","country_code":"CZ","type":"education","lineage":["https://openalex.org/I21250087"]}],"countries":["CZ"],"is_corresponding":false,"raw_author_name":"Mat\u00fa\u0161 Maciak","raw_affiliation_strings":["Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Sokolovsk\u00e1 83, 186 75, Prague, Czech Republic"],"affiliations":[{"raw_affiliation_string":"Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Sokolovsk\u00e1 83, 186 75, Prague, Czech Republic","institution_ids":["https://openalex.org/I21250087"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5079124637","display_name":"Sebastiano Vitali","orcid":"https://orcid.org/0000-0002-6984-4194"},"institutions":[{"id":"https://openalex.org/I11039511","display_name":"University of Bergamo","ror":"https://ror.org/02mbd5571","country_code":"IT","type":"education","lineage":["https://openalex.org/I11039511"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Sebastiano Vitali","raw_affiliation_strings":["Department of Economics, University of Bergamo, Via dei Caniana 2, 24127, Bergamo, Italy"],"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Bergamo, Via dei Caniana 2, 24127, Bergamo, Italy","institution_ids":["https://openalex.org/I11039511"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5079124637"],"corresponding_institution_ids":["https://openalex.org/I11039511"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":{"value":2290,"currency":"EUR","value_usd":2890},"fwci":0.5494,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.63237629,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":95},"biblio":{"volume":"21","issue":"1","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":0.9966999888420105,"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":0.9966999888420105,"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/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9922999739646912,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and 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/T12137","display_name":"Economic theories and models","score":0.982200026512146,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"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/econometrics","display_name":"Econometrics","score":0.689141571521759},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.5910475254058838},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5497105121612549},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.4987337589263916},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4811869263648987},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.470499724149704},{"id":"https://openalex.org/keywords/local-volatility","display_name":"Local volatility","score":0.43478280305862427},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.41911572217941284},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.34535902738571167}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.689141571521759},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.5910475254058838},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5497105121612549},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.4987337589263916},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4811869263648987},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.470499724149704},{"id":"https://openalex.org/C2779834249","wikidata":"https://www.wikidata.org/wiki/Q6664586","display_name":"Local volatility","level":4,"score":0.43478280305862427},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.41911572217941284},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.34535902738571167}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10287-024-00505-2","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-024-00505-2","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-024-00505-2.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},{"id":"pmh:oai:aisberg.unibg.it:10446/266529","is_oa":true,"landing_page_url":"https://hdl.handle.net/10446/266529","pdf_url":"https://aisberg.unibg.it/bitstream/10446/266529/1/s10287-024-00505-2_finale.pdf","source":{"id":"https://openalex.org/S4377196347","display_name":"Aisberg (University of Bergamo)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I11039511","host_organization_name":"University of Bergamo","host_organization_lineage":["https://openalex.org/I11039511"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:RePEc:spr:comgts:v:21:y:2024:i:1:d:10.1007_s10287-024-00505-2","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10287-024-00505-2","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"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":"article"}],"best_oa_location":{"id":"doi:10.1007/s10287-024-00505-2","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-024-00505-2","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-024-00505-2.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G5825296510","display_name":null,"funder_award_id":"21-10768S","funder_id":"https://openalex.org/F4320309872","funder_display_name":"Grantov\u00e1 Agentura, Univerzita Karlova"},{"id":"https://openalex.org/G6622438237","display_name":null,"funder_award_id":"MIUR-ex60% 2022 sci.rep. Sebastiano Vitali","funder_id":"https://openalex.org/F4320331528","funder_display_name":"Ministero dell'Universit\u00e0 e della Ricerca"}],"funders":[{"id":"https://openalex.org/F4320309872","display_name":"Grantov\u00e1 Agentura, Univerzita Karlova","ror":"https://ror.org/024d6js02"},{"id":"https://openalex.org/F4320316219","display_name":"Universit\u00e0 degli studi di Bergamo","ror":"https://ror.org/02mbd5571"},{"id":"https://openalex.org/F4320321006","display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky","ror":"https://ror.org/01pv73b02"},{"id":"https://openalex.org/F4320331528","display_name":"Ministero dell'Universit\u00e0 e della Ricerca","ror":null}],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W4392655003.pdf"},"referenced_works_count":36,"referenced_works":["https://openalex.org/W1577286032","https://openalex.org/W1588406935","https://openalex.org/W1957259441","https://openalex.org/W1982289595","https://openalex.org/W1997250767","https://openalex.org/W1999178988","https://openalex.org/W2037182421","https://openalex.org/W2057396531","https://openalex.org/W2071058234","https://openalex.org/W2077791698","https://openalex.org/W2084931349","https://openalex.org/W2094247551","https://openalex.org/W2110466463","https://openalex.org/W2111420975","https://openalex.org/W2117727114","https://openalex.org/W2125142831","https://openalex.org/W2144452471","https://openalex.org/W2154682131","https://openalex.org/W2160253167","https://openalex.org/W2337889736","https://openalex.org/W2734134993","https://openalex.org/W2774343357","https://openalex.org/W2901828117","https://openalex.org/W2950144632","https://openalex.org/W3031754953","https://openalex.org/W3044980615","https://openalex.org/W3122654920","https://openalex.org/W3122718043","https://openalex.org/W3122879729","https://openalex.org/W3124462366","https://openalex.org/W3124792594","https://openalex.org/W3125266524","https://openalex.org/W3175450624","https://openalex.org/W4210749431","https://openalex.org/W4234275190","https://openalex.org/W4283646352"],"related_works":["https://openalex.org/W3122544694","https://openalex.org/W3123954224","https://openalex.org/W4300827384","https://openalex.org/W2950618784","https://openalex.org/W3126075830","https://openalex.org/W1554325515","https://openalex.org/W1954168093","https://openalex.org/W1601881750","https://openalex.org/W2549845650","https://openalex.org/W2491534727"],"abstract_inverted_index":{"Abstract":[0],"This":[1,31],"paper":[2],"focuses":[3],"on":[4,58],"market":[5,51,91],"changes":[6,36,95],"due":[7,87],"to":[8,17,67,78,88],"exogenous":[9,99],"effects.":[10],"The":[11,74],"standard":[12],"implied":[13],"volatility":[14],"is":[15,32,69,77],"shown":[16],"be":[18],"insufficient":[19],"for":[20,106],"a":[21,45,64,130],"proper":[22],"detection":[23],"and":[24,71,115,121,124],"analysis":[25],"of":[26,29],"this":[27],"type":[28],"risk.":[30],"mainly":[33],"because":[34],"such":[35],"are":[37,101,110,134],"usually":[38],"dominated":[39],"by":[40,97],"endogenous":[41],"effects":[42,109],"coming":[43],"from":[44],"specific":[46],"trading":[47],"mechanism":[48],"or":[49],"natural":[50,90],"dynamics.":[52],"A":[53],"methodologically":[54],"unique":[55],"approach":[56],"based":[57],"artificial":[59],"options":[60],"that":[61],"always":[62],"have":[63],"constant":[65],"time":[66],"maturity":[68],"proposed":[70,111],"explicitly":[72],"defined.":[73],"key":[75],"principle":[76],"use":[79],"interpolated":[80],"volatilities,":[81],"which":[82],"can":[83],"effectively":[84],"eliminate":[85],"instabilities":[86],"the":[89,94,98],"dynamics":[92],"while":[93],"caused":[96],"causes":[100],"preserved.":[102],"Formal":[103],"statistical":[104],"tests":[105],"distinguishing":[107],"significant":[108],"under":[112],"different":[113],"theoretical":[114],"practical":[116],"scenarios.":[117],"Statistical":[118],"theory,":[119],"computational":[120],"algorithmic":[122],"details,":[123],"comprehensive":[125],"empirical":[126],"comparisons":[127],"together":[128],"with":[129],"real":[131],"data":[132],"illustration":[133],"all":[135],"presented.":[136]},"counts_by_year":[{"year":2025,"cited_by_count":1}],"updated_date":"2026-03-20T23:20:44.827607","created_date":"2025-10-10T00:00:00"}
