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Cumulative distribution function

Cutting Edge

Sculpting implied volatility surfaces of illiquid assets

From the stock cumulative distribution function an arbitrage-free volatility surface is derived

21 Oct 2022

Vol and liquidity

Risk management

Improved goodness-of-fit measures

30 Mar 2015

Original research

A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

19 Dec 2014

mathematics

Markets

Spread options, Farkas's lemma and linear programming

16 Sep 2011

Markets

Spread options, Farkas's lemma and linear programming

Spread options, Farkas's lemma and linear programming

06 Sep 2011

Markets

Spread options, Farkas's lemma and linear programming

Spread options, Farkas's lemma and linear programming

26 Jul 2011

Infrastructure

Beyond the lognormal

Value-at-risk

01 May 2000

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