Climate, crypto and market impact also featured among the top research topics in 2023
The authors propose a randomized quasi-Monte Carlo method which outperforms both the Monte Carlo and standard quasi-Monte Carlo methods.
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
An analytic approximation for the implied volatility surface of basket options is introduced
Introducing an algorithm for computing vega sensitivities at all strikes and expiries
Natixis quants find novel way to speed up volatility smile modelling
A solution based on local volatility and sensitivities is proposed to calculate exotics' prices
Volatility models and SPX/VIX joint dynamics are calibrated using optimal transport theory
In this paper, the authors propose to approach the calibration problem of local volatility with Bayesian statistics to infer a conditional distribution over functions given observed data.
Barclays quants extend Bergomi’s skew stickiness ratio to all strikes
Bergomi's skew-stickiness ratio is extended to the setting of variance swaps
Extreme short-dated skew can be obtained by decomposing it in two parts
An adjustment for the volatility smile in Asian options is proposed
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.