Path-dependent volatility
Beyond epicycles: models must describe markets, not just fit them
Modelling needs to embrace complexity in volatility patterns, says Jean-Philippe Bouchaud
Optimal transport for model calibration
Volatility models and SPX/VIX joint dynamics are calibrated using optimal transport theory
Path independence of exotic options and convergence of binomial approximations
In this paper, the authors analyse the convergence of tree methods for pricing barrier and lookback options.
Path-dependent American options
In this paper, the authors investigate a path-dependent American option problem and provide an efficient and implementable numerical scheme for the solution of its associated path-dependent variational inequality.
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