Filling the gaps

Filling the gaps


Some of the most fundamental and long-considered solved problems of financial engineering, such as construction of yield curves and calibration of implied volatility surfaces, have recently turned out to be more complex than previously thought.

In particular, it has become apparent that one of the main challenges of options pricing and risk management is the sparseness of market data for model calibration, especially in severe conditions. Market quotes can be very sparse in both strike and

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: