Volatility surface
Simulation of Heston made simple
A new way to apply the classic stochastic volatility model is presented
Filling gaps in market data with optimal transport
Julius Baer quant proposes novel way to generate accurate prices for illiquid maturities
Volatility shape-shifters: arbitrage-free shaping of implied volatility surfaces
Manipulating implied volatility surfaces using optimal transport theory has several applications
Joint S&P 500/VIX smile calibration in discrete and continuous time
An arbitrage-free model for exotic options that captures smiles and futures is presented
Refined analysis of the no-butterfly-arbitrage domain for SSVI slices
The authors investigate the surface SVI model with three with three parameters, applying the SVI results to give the nobutterfly- arbitrage domain
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented
Skew this: taking the computational burden off basket options
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
Smile-consistent basket skew
An analytic approximation for the implied volatility surface of basket options is introduced
A robust stochastic volatility model for interest rates
A swaption pricing model based on a single-factor Cheyette model is shown to fit accurately
How a machine learning model closed a hidden FX arbitrage gap
MUFG Securities quant uses variational inference to control the mid volatility of options
Rising star in quantitative finance: Sigurd Emil Rømer
Risk Awards 2023: Doctoral dissertation outlines more efficient way to simulate rough volatility models
Podcast: Zetocha on mini-futures (not those) and illiquid options
Julius Baer equity quant revels in solving problems for the trading desk
A new approach to marking volatility of illiquid options
Julius Baer quant’s arbitrage-free solution overcomes challenge of sparse data
Sculpting implied volatility surfaces of illiquid assets
From the stock cumulative distribution function an arbitrage-free volatility surface is derived
Interpolating commodity futures prices with Kriging
A futures price’s term structure is built to account for trends and seasonality effects
From ‘cottage industry’ to quant-ready: prop data at JP Morgan
Unique information now “table stakes” for brokers as they compete for new clients
An approximate solution for options market-making
An algorithm for the market-making of options on different underlyings is proposed
Goldman inks modelling, data tie-up with MSCI
Move to cross-sell risk analytics could herald further content deals for bank’s Marquee platform, says sales chief
The volatility paradigm that’s stirring up options pricing
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?