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
Bloomberg quant Guyon delivers an alternative to stochastic local volatility
Julien Guyon on path-dependent volatility models
A quadratic volatility Cheyette model
SABR goes normal
Rational shapes of local volatility
Expanded forward volatility