Arbitrage-free model
Obtaining arbitrage-free FX implied volatility by variational inference
An ML-based algorithm that provides implied volatilities from bid-ask prices is proposed
A new approach to marking volatility of illiquid options
Julius Baer quant’s arbitrage-free solution overcomes challenge of sparse data
Sculpting implied volatility surfaces of illiquid assets
From the stock cumulative distribution function an arbitrage-free volatility surface is derived
The joint S&P 500/Vix smile calibration puzzle solved
SPX and Vix derivatives are modelled jointly in an arbitrage-free setting
Deep learning calibration of option pricing models: some pitfalls and solutions
Addressing model calibration and the issue of no-arbitrage in a deep learning approach
You don’t need to sacrifice accuracy for flexibility
BAML quant proposes option pricing model that softens conflict between the two properties
Local stochastic volatility: shaken, not stirred
Dominique Bang introduces a novel LSV approach to term distribution modelling
Trading lightly: cross-impact and optimal portfolio execution
A liquidity model for basket of correlated securities is presented
Mixing SABR models for negative rates
Antonov, Konikov and Spector use an exact formula for the normal free boundary SABR to construct an arbitrage-free mixed SABR model
Heston model: shifting on the volatility surface
Stochastic volatility model combining Heston vol model and CIR++
Smile transformation for price prediction
Prediction of arbitrage-free option prices that outperform existing models
Traders close ranks against FVA critics
Traders v. theorists
Quants of the year: Jesper Andreasen and Brian Huge, Danske Bank
Risk awards 2012
