Implied volatility

• Infrastructure

The taming of the skew

Implied volatility

• 01 Nov 2000

• Infrastructure

A mixed-up smile

Implied volatility

• 01 Sep 2000

• Infrastructure

Swaptions with a smile

Masterclass – with JP Morgan

• 01 Aug 1999

• Infrastructure

The tree of knowledge

Options

• 01 Aug 1999

• Infrastructure

Rates of skew

Interest rate models

• 01 Jul 1999

• Infrastructure

If the skew fits

Volatility

• 01 Apr 1999

• Infrastructure

Regimes of volatility

Options markets

• 01 Apr 1999

• Infrastructure

Pricing with a smile

Bruno Dupire shows how the Black-Scholes model can be extended tomake it compatible with observed market volatility smiles, allowingconsistent pricing and hedging of exotic options

• 01 Jan 1998