Local volatility models
Bermudan swaption model risk analysis: a local volatility approach
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.
Equity modelling with local stochastic volatility and stochastic discrete dividends
SocGen quants calibrate local stochastic volatility models with stochastic dividends
Swaptions vol modelling tweak opens up pricing possibilities
Nomura quant proposes local volatility model that can directly calibrate to swaption smiles
The swap market model with local stochastic volatility
An easy to calibrate and accurate swap market model is proposed
Quantitative finance still needs mathematicians
Quants develop model that fixes a longstanding problem with pricing American options
Local volatility from American options
De Marco and Henry-Labordère provide an approximation of American options in terms of the local volatility function
A nonparametric local volatility model for swaptions smile
This paper proposes a nonparametric local volatility Cheyette model and applies it to pricing interest rate swaptions.
Local volatility models in commodity markets and online calibration
This paper introduces a local volatility model for the valuation of options on commodity futures by using European vanilla option prices.
Interest rate models enhanced with local volatility
Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
Cross-dependent volatility
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
Quantized calibration in local volatility
Quantization is applied to price vanilla and barrier options
Cutting edge intro: history in the modelling
Bloomberg quant Guyon delivers an alternative to stochastic local volatility
Path-dependent volatility
Julien Guyon on path-dependent volatility models
Cutting Edge 2013: fixing SABR
Fixing SABR
A quadratic volatility Cheyette model
A quadratic volatility Cheyette model
SABR goes normal
SABR goes normal
Cutting Edge introduction: Goodwill for DVA
Goodwill blunting
Rational shapes of local volatility
Rational shapes of local volatility
Expanded forward volatility
Expanded forward volatility
The beta stochastic volatility model
The beta stochastic volatility model
Sponsored statement: Ito33
Which model for equity derivatives?
Alternatively weighted risk premium indexes gain momentum
Index providers and fund managers who have tended to focus on performance are seeing demand from investors for strategy indexes that focus on risk
Quants of the year: Jesper Andreasen and Brian Huge, Danske Bank
Risk awards 2012