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