Implied Volatility Models
Philippe Balland, Merrill Lynch

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.