MUFG Securities quant uses variational inference to control the mid volatility of options
QRM quants claim to have bridged divide across ‘multiverse’ of fixed-income models
A solution for a no-arbitrage condition in Cheyette-style models is proposed
A new arbitrage-free volatility surface with closed-form valuation and local volatility is introduced
A combination of rough volatility and price-feedback effect allows for SPX-Vix joint calibration
New research addresses fundamental issues with ANN approximation of pricing models
This paper extends Gatheral and Jacquier’s surface stochastic volatility-inspired (SSVI) parameterization by making the correlation maturity dependent and obtaining the necessary and sufficient conditions for no calendar-spread arbitrage.
Dominique Bang introduces a novel LSV approach to term distribution modelling
Risk-neutral valuation could be replaced by models with a subjectivity element, writes mathematical finance head
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
This paper presents a simple approximation for the noarbitrage drifts that appear in Libor market model SABR-family term structure models.
Differential rates, differential prices
The cost of liquidation