Volatility surface
A tale of two (or three, or four) models
Performance measure based on quality of replicating portfolios outperforms ‘P&L explain’, new paper claims
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.
Vix curve gave warning of February volatility spike
Research by NYU’s Marco Avellaneda offers insight into short-vol strategy
Cutting Edge introduction: Continuity error
Continuity error
Sponsored statement: Ito33
Which model for equity derivatives?
Cutting Edge: the year of CVA
The year of CVA
Filling the gaps
Filling the gaps