Has the problem of jointly calibrating the volatility smiles of the Vix and S&P 500 been solved?
A combination of rough volatility and price-feedback effect allows for SPX-Vix joint calibration
Thomas Roos presents the expressions for the implied volatilities of European and forward starting options
EBA options for lighter capital treatment of parametric curves could prove impractical
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.
Nomura quant proposes local volatility model that can directly calibrate to swaption smiles
Initial margin, optimal execution and applications of machine learning were the hottest topics of 2017
This paper consists of a “horse race” study comparing (i) a number of option pricing models, and (ii) roll-over estimation procedures.
Austing and Li provide a continuous barrier options pricing formula that fits the volatility smile
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
Prediction of arbitrage-free option prices that outperform existing models
Hybrid smiles made fast
Smile in the low moments
Rational shapes of local volatility
Expanded forward volatility
The basis goes stochastic
Efficient hedging – Using market distortion to your advantage
Perturbing the smile
Stochastic volatility’s orderly smiles
Which model for equity derivatives?
Market-consistent equity risk premiums