Local volatility models
Quantization is applied to price vanilla and barrier options
ABSTRACT This paper reports a practical approach to constructing arbitrage-free volatility surfaces that are consistent with the observed options smiles and Samuelson effect in futures markets.A separate...
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Index providers and fund managers who have tended to focus on performance are seeing demand from investors for strategy indexes that focus on risk
Risk awards 2012
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
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