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Smile dynamics IV

    • Lorenzo Bergomi
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In previous work (Bergomi, 2004, 2005, and 2008), we studied the dynamical properties of popular smile models and proposed a new framework for specifying stochastic volatility models with the objective of controlling some of their dynamical properties such as the term structure of the volatilities of volatilities, the level of short forward skew, and the smile of volatility of volatility.

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Smile dynamics IV

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