Discover open access scientific publications

Search, annotate, share and cite publications

Publications by Hammad Siddiqi

Analogy Making and the Structure of Implied Volatility Skew

SSRN Electronic Journal

English

Analogy Based Valuation of Commodity Options

SSRN Electronic Journal

English

Related publications

A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew

Journal of Financial Econometrics

English

Intraday Volatility Forecasting From Implied Volatility

International Journal of Managerial Finance

English

Implied Volatility Functions: Empirical Tests

English

Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

SSRN Electronic Journal

English

Arbitrage-Free Smoothing of the Implied Volatility Surface

Quantitative Finance

English

Sample and Implied Volatility in GARCH Models

Journal of Financial Econometrics

English

Implied and Local Volatilities Under Stochastic Volatility

International Journal of Theoretical and Applied Finance

English

Construction and Interpretation of Model-Free Implied Volatility

SSRN Electronic Journal

English

Distribution of Historic Market Data – Implied and Realized Volatility

Applied Economics and Finance

English