Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
Negative rates causing pricing model rethink
This issue of The Journal of Computational Finance has numerical partial differential equation discretization techniques as its central theme.
The damped Crank–Nicolson time-marching scheme for the adaptive solution of the Black–Scholes equation
This paper deals with error estimators and mesh adaptation for a space-time finite element discretization of the basic Black-Scholes equation. An interesting modern numerical mathematical technique for a fundamental pricing equation in finance is explained.
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
Wujiang Lou shows the impact of funding costs on option valuation
In celebration of our 25th anniversary this year, Risk re-publishes a landmark article by Fischer Black, offering a critique of the Black-Scholes model
In defence of FVA
Traders v. theorists
It is well known that the quanto adjustment in the drift of the underlying has a significant impact on the prices of quanto options. Alexander Giese points out that an additional quanto adjustment in the underlying’s volatility needs to be considered...
An Arch economist
Which model for equity derivatives?
Quants' golden age
Risk awards 2011
A volatile time