: Traders use forward equations (such as those by Bruno Dupire ) to price options or extract implied volatilities from current market data using methods like the Fokker-Planck equation.
: This study examines forward volatilities averaged across major firms (like the DJIA) and forecasts volatility term structures over multi-year periods.
: This paper defines three notions of model-based forward implied volatility (fully-conditional, partially-conditional, and expected) and uses the SABR model for calibration in currency markets.
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