Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
Prediction of arbitrage-free option prices that outperform existing models
Hybrid smiles made fast
Smile in the low moments
Rational shapes of local volatility
Expanded forward volatility
The basis goes stochastic
Efficient hedging – Using market distortion to your advantage
Perturbing the smile
Stochastic volatility’s orderly smiles
Which model for equity derivatives?
Market-consistent equity risk premiums
Filling the gaps
Trade of the month: volatility smiles
Volatility has become affordable again, says Deutsche Bank
Trade of the month: Volatility skew
In a world increasingly focused on effective enterprise-level risk management, there are notable discrepancies in volatility management techniques. Murex proposes a cross-asset interpolation space with potentially significant risk management impacts
Fear of a spike in consumer prices has created greater demand for inflation protection from a variety of participants. This has increased the need for inflation pricing and analytics tools – but it is not as simple as tweaking existing models used for...
Implementing models with stochastic as well as deterministic local volatility can be challenging. Here, Jesper Andreasen and Brian Huge describe an expansion approach for such models that avoids the high-dimensional partial differential equations usually...
Cross-asset quadratic Gaussian models have been limited in the scale of their implementation by the difficulty in ensuring the correct drift conditions to omit arbitrage. Here, Paul McCloud shows how to exploit the symmetries of the functional form to...
Pierre Henry-Labordère introduces a new technique for calibrating local volatility extensions of arbitrary multi-factor stochastic volatility models to market smiles. Although approximate, this technique is both fast and accurate. The procedure is illustrated...