Implied Volatility Models
Philippe Balland, Merrill Lynch

Abstract:
In this talk, we analyze particular types of smile structures defined by assuming particular dynamics for the implied volatility surface. First, we characterize the sticky-delta and sticky-strike implied volatility models introduced by Derman and Reiner. Finally, we introduce the restricted and unrestricted stochastic implied volatility models and extend earlier works of Derman & Kani and Schonbucher.