Technical paper/Local volatility models
Local volatility from American options
De Marco and Henry-Labordère provide an approximation of American options in terms of the local volatility function
A nonparametric local volatility model for swaptions smile
This paper proposes a nonparametric local volatility Cheyette model and applies it to pricing interest rate swaptions.
Local volatility models in commodity markets and online calibration
This paper introduces a local volatility model for the valuation of options on commodity futures by using European vanilla option prices.
Interest rate models enhanced with local volatility
Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
Cross-dependent volatility
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
Quantized calibration in local volatility
Quantization is applied to price vanilla and barrier options
Cutting edge intro: history in the modelling
Bloomberg quant Guyon delivers an alternative to stochastic local volatility
Path-dependent volatility
Julien Guyon on path-dependent volatility models
Cutting Edge 2013: fixing SABR
Fixing SABR
A quadratic volatility Cheyette model
A quadratic volatility Cheyette model
SABR goes normal
SABR goes normal
Cutting Edge introduction: Goodwill for DVA
Goodwill blunting
Rational shapes of local volatility
Rational shapes of local volatility
Expanded forward volatility
Expanded forward volatility
The beta stochastic volatility model
The beta stochastic volatility model
Being particular about calibration
Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their approach, based on McKean’s particle method,…
Filling the gaps
Filling the gaps
From spot volatilities to implied volatilities
From spot volatilities to implied volatilities
From spot volatilities to implied volatilities
From spot volatilities to implied volatilities
Volatility interpolation
Volatility interpolation
Smiling jumps
Smiling jumps
Breaking correlation breaks
Breaking correlation breaks