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STICERD Econometrics Seminar Series

Implied Stochastic Volatility Models

Yacine Ait-Sahalia (Princeton University), joint with Chenxu Li - Peking University - Guanghua School of Management Chen Xu Li - Princeton University - Bendheim Center for Finance

Thursday 02 May 2019 14:15 - 15:45

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Unless otherwise specified, in-person seminars are open to the public.

Those unable to join the seminars in-person are welcome to participate via zoom if the event is hybrid.

About this event

This paper proposes to build "implied stochastic volatility models" designed to fit option-implied volatility data, and implements a method to construct such models. The method is based on explicitly linking shape characteristics of the implied volatility surface to the specification of the stochastic volatility model. We propose and implement parametric and nonparametric versions of implied stochastic volatility models

STICERD Econometrics seminars are held on Thursdays in term time at 14.00-15.30, ONLINE, unless specified otherwise.

Seminar organisers: Professor Tai Otsu and Dr. Vassilis Hajivassiliou.

For further information please contact Lubala Chibwe, either by email:

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