Stochastic volatility
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
Cutting edge 2012: From stochastic volatility to shameful scams
From stochastic volatility to shameful scams
Quanto adjustments in the presence of stochastic volatility
It is well known that the quanto adjustment in the drift of the underlying has a significant impact on the prices of quanto options. Alexander Giese points out that an additional quanto adjustment in the underlying’s volatility needs to be considered in…
Quanto adjustments in the presence of stochastic volatility
Quanto adjustments in the presence of stochastic volatility