Calibrating and pricing with local volatility models

Cutting edge - Option pricing

Local volatility models introduced by Dupire (1994) and Derman & Kani (1994) are now widely used to price and manage the risks of structured products. The dimensionality of risks to be simultaneously managed continues to expand with the demand for hybrid products and the growth of markets directly trading volatility. The formulation and implementation of local volatility models in these higher-dimensional Markov contexts is now becoming an important issue. Of particular interest to the financial

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What gold's rise means for rates, equities

It has been several years since we have seen volatility in gold. An increase in gold volatility can typically be associated with a change in sentiment and investor behavior. The precious metal has surged this year on increased demand for safe haven…

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