Browsing Theses by Author "Li, Zhirong"
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Two Affine Scaling Methods for Solving Optimization Problems Regularized with an L1-norm
Li, Zhirong (University of Waterloo, 2010-09-30)In finance, the implied volatility surface is plotted against strike price and time to maturity. The shape of this volatility surface can be identified by fitting the model to what is actually observed in the market. The ...