The authors investigate the surface SVI model with three with three parameters, applying the SVI results to give the nobutterfly- arbitrage domain
An arbitrage-free short-rate model for backward-looking compounded rates is presented
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
An analytic approximation for the implied volatility surface of basket options is introduced
A swaption pricing model based on a single-factor Cheyette model is shown to fit accurately
MUFG Securities quant uses variational inference to control the mid volatility of options
Risk Awards 2023: Doctoral dissertation outlines more efficient way to simulate rough volatility models
Julius Baer equity quant revels in solving problems for the trading desk
Julius Baer quant’s arbitrage-free solution overcomes challenge of sparse data
From the stock cumulative distribution function an arbitrage-free volatility surface is derived
A futures price’s term structure is built to account for trends and seasonality effects
Unique information now “table stakes” for brokers as they compete for new clients
An algorithm for the market-making of options on different underlyings is proposed
Move to cross-sell risk analytics could herald further content deals for bank’s Marquee platform, says sales chief
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
A new arbitrage-free volatility surface with closed-form valuation and local volatility is introduced
Performance measure based on quality of replicating portfolios outperforms ‘P&L explain’, new paper claims
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.
Research by NYU’s Marco Avellaneda offers insight into short-vol strategy
Which model for equity derivatives?
The year of CVA
Filling the gaps