Right Laplace, right time

Calibrating implied volatility just got easier – thanks to a classical mathematical device with an illustrious history. Laurie Carver introduces this month’s technical articles by looking at how the Laplace transform can make volatility calibration more efficient

Napoleon Bonaparte, as well as being a brilliant general and a ruthless despot, was also quite an accomplished mathematician. Considering the company he kept, that should not be a surprise. Napoleonic France was at the forefront of the development of the multivariable analysis that expanded Newton’s calculus and now underpins virtually all areas of science.

As the absolute ruler, Bonaparte could