Stochastic volatility
Valuation of options on discretely sampled variance: a general analytic approximation
In this paper the authors provide a comprehensive treatment of the discretization effect under general stochastic volatility dynamics.
Accelerated trinomial trees applied to American basket options and American options under the Bates model
This paper introduces accelerated trinomial trees, a novel efficient lattice method for the numerical pricing of derivative securities.
B-spline techniques for volatility modeling
In this paper the use of B-splines is advocated for volatility modeling within the calibration of stochastic local volatility (SLV) models and for the parameterization of an arbitrage-free implied volatility surface calibrated to sparse option data.
Isolating a risk premium on the volatility of volatility
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
A novel Fourier transform B-spline method for option pricing
By means of B-spline interpolation, this paper provides an accurate closed-form representation of the option price under an inverse Fourier transform.
Greeks with continuous adjoints: fast to code, fast to run
Marzio Sala and Vincent Thiery show the derivation of the continuous adjoint problem for PDEs
Heston model: shifting on the volatility surface
Stochastic volatility model combining Heston vol model and CIR++
The stochastic-volatility, jump-diffusion optimal portfolio problem with jumps in returns and volatility
The risk-averse optimal portfolio problem is treated with consumption in continuous time for a stochastic jump-volatility-jump-diffusion (SJVJD) model for both the risky asset and the volatility.
Path-dependent volatility
Julien Guyon on path-dependent volatility models
Local correlation families
Local correlation families
Rational shapes of local volatility
Rational shapes of local volatility
Expanded forward volatility
Expanded forward volatility