Volatility smile
The extended SSVI volatility surface
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.
Swaptions vol modelling tweak opens up pricing possibilities
Nomura quant proposes local volatility model that can directly calibrate to swaption smiles
Degree of influence, 2017: Quants dissect initial margin
Initial margin, optimal execution and applications of machine learning were the hottest topics of 2017
Pricing and hedging options with rollover parameters
This paper consists of a “horse race” study comparing (i) a number of option pricing models, and (ii) roll-over estimation procedures.
Model-free valuation of barrier options
Austing and Li provide a continuous barrier options pricing formula that fits the volatility smile
Cross-dependent volatility
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
Non-parametric local volatility formula for interest rate swaptions
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
Smile transformation for price prediction
Prediction of arbitrage-free option prices that outperform existing models
Cutting Edge 2013: fixing SABR
Fixing SABR
Hybrid smiles made fast
Hybrid smiles made fast
Smile in the low moments
Smile in the low moments
Rational shapes of local volatility
Rational shapes of local volatility
Cutting Edge introduction: SABR rattling
SABR rattling
Expanded forward volatility
Expanded forward volatility
The basis goes stochastic
The basis goes stochastic
Sponsored feature: Royal Bank of Scotland
Efficient hedging – Using market distortion to your advantage
Cutting edge introduction: perturbing the smile
Perturbing the smile
Stochastic volatility’s orderly smiles
Stochastic volatility’s orderly smiles
Sponsored statement: Ito33
Which model for equity derivatives?
Market-consistent equity risk premiums
Market-consistent equity risk premiums
Filling the gaps
Filling the gaps
Trade of the month: volatility smiles
Trade of the month: volatility smiles
Volatility has become affordable again, says Deutsche Bank
Volatility has become affordable again, says Deutsche Bank
Trade of the month: Volatility skew
Trade of the month: Volatility skew