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I have also currently started to learn about the subject. This is some of the material I have encountered: Many people recommend the book "The Volatility Surface: A Practitioner's Guide" by Jim Gatheral. It is a standard reference in the area (even though I personally found it a bit confusing and a bit unclear at some parts). The author also have ...


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In general "parametric" models make a strong assumption (dynamics equation, like Garch, parametric Dupire local vol) about underlying process. Coefficients (parameters) of these equations usually need to be estimated (calibrated). In "non-parametric" models there's usually less assumptions , and they are estimated directly from data. They do have ...


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