Technical paper/Market data
Convex volatility interpolation
The modelling of implied volatility surfaces is reframed as an optimisation problem
Evaluating the credit exposure of interest rate derivatives under the real-world measure
This paper examines the credit exposure evaluation properties of interest rate derivatives to manage counterparty credit risk, working with the real-world probability.
The taming of the skew
Implied volatility
A mixed-up smile
Implied volatility