Option pricing
Smile in the low moments
Smile in the low moments
Rational shapes of local volatility
Rational shapes of local volatility
Physics versus finance: Science strikes back
Science strikes back
Risk reaches 25-year anniversary
In celebration of our 25th anniversary this year, Risk re-publishes a landmark article by Fischer Black, offering a critique of the Black-Scholes model
Technology: Cloud on the horizon?
Cloud on the horizon?
Sponsored feature: Royal Bank of Scotland
Efficient hedging – Using market distortion to your advantage
Quanto adjustments in the presence of stochastic volatility
Quanto adjustments in the presence of stochastic volatility
Stochastic volatility’s orderly smiles
Stochastic volatility’s orderly smiles
Sponsored statement: Ito33
Which model for equity derivatives?
Downgrade termination costs
Downgrade termination costs
Need for speed: banks explore FPGAs for portfolio modelling
The gate array way
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Being particular about calibration
Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their approach, based on McKean’s particle method,…
Q&A: Myron Scholes on LTCM, crisis lessons and the value of intermediation
Quants' golden age
Pricing, Basel, Paulson & Co: the top stories of 2011 so far
A review of the top Risk.net stories during the first half of 2011
Repricing the cross smile: an analytic joint density
Repricing the cross smile: an analytic joint density
Marking systemic portfolio risk with the Merton model
Marking systemic portfolio risk with the Merton model
Multi-currency CSA chaos behind push to standardised CSA
The evolution of swap pricing
Stressed in Monte Carlo
Stressed in Monte Carlo
Volatility interpolation
Volatility interpolation
Multi-currency CSA chaos behind push to standardised CSA
The evolution of swap pricing
Isda working group to draw up new, standardised CSA
Derivatives market set for shake-up as confusion over how to price multi-currency CSA trades drives a push towards a standardised collateral agreement