Download or read book Implied Volatility Surfaces for Inverse Gamma Models written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study implied volatility surfaces when the squared volatility is driven by an inverse gamma process. We derive the first two conditional moments of the integrated volatility over the time to maturity to study theoretical term structure volatility patterns. We find that these patterns are in accordance with the empirical ones. Finally, we discuss some probabilistic properties of the volatility process.