Riskfuel Analytics Inc
$125,000.00 CAD
≈ 19 months of average Canadian pay
- Department
- National Research Council Canada
- Recipient country
- Canada
- Fiscal year
- 2021-2022
- Agreement period
- December 1, 2021 – May 31, 2022
- Reference
- nrc-cnrc:172-2021-2022-Q4-984187
Published purpose
Volatility surfaces are necessary to understand the value and risk of options. In most cases, there are an insufficient number of points to define the entire surface and gap-filling techniques are needed to complete the surface. Currently, gap filling is a manual process which is time-consuming and subject to bias. We propose to build a fully automatic tool to complete volatility surfaces for one asset class, without assumptions or human intervention, using available market data.
Community tags
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Good value
Local impact
Needs context
Questionable
Success story
Wasteful
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