Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
A new technique for pricing exotic options unifies two classic models
A model unifies the classic local vol and binomial trees to accurately price options
A new arbitrage-free volatility surface with closed-form valuation and local volatility is introduced
The aim of this paper is to move away from a Gaussian assumption and to provide new algorithms that can be used to implement a Markov-functional model driven by a more general class of one-dimensional diffusion processes.
Risk Awards 2020: New machine learning techniques bring ‘rough volatility’ models to life
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Study shows issues with pricing autocallables using SLV
BAML quant proposes option pricing model that softens conflict between the two properties
Dominique Bang introduces a novel LSV approach to term distribution modelling
This paper considers the classical optimal investment allocation problem of Merton through the lens of some more modern approaches, such as the stochastic volatility and local volatility models.
Amine Ahallal and Olaf Torne add a knock-out barrier to the standard corridor variance swap
This paper seeks to contribute a simple and (almost) model-free way of assessing the economic value of the Bermudan exercise right derived from a “minimal” local volatility enhanced interest rate model.
SocGen quants calibrate local stochastic volatility models with stochastic dividends
Nomura quant proposes local volatility model that can directly calibrate to swaption smiles
An easy to calibrate and accurate swap market model is proposed
Quants develop model that fixes a longstanding problem with pricing American options
De Marco and Henry-Labordère provide an approximation of American options in terms of the local volatility function
This paper proposes a nonparametric local volatility Cheyette model and applies it to pricing interest rate swaptions.
This paper introduces a local volatility model for the valuation of options on commodity futures by using European vanilla option prices.
Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
Quantization is applied to price vanilla and barrier options