Technical paper/Option pricing
Funding in option pricing: the Black-Scholes framework extended
Wujiang Lou shows the impact of funding costs on option valuation
Heston model: shifting on the volatility surface
Stochastic volatility model combining Heston vol model and CIR++
Cutting edge: Incorporating forex volatility into commodity spread option pricing
Spread option pricing: importance of forex risk factors illustrated
Smile transformation for price prediction
Prediction of arbitrage-free option prices that outperform existing models
Time for a timer
Time for a timer
Hedge backtesting for model validation
Hedge backtesting for model validation
Smile in the low moments
Smile in the low moments
Rational shapes of local volatility
Rational shapes of local volatility
Quanto adjustments in the presence of stochastic volatility
Quanto adjustments in the presence of stochastic volatility
Stochastic volatility’s orderly smiles
Stochastic volatility’s orderly smiles
Downgrade termination costs
Downgrade termination costs
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Being particular about calibration
Being particular about calibration
Repricing the cross smile: an analytic joint density
Repricing the cross smile: an analytic joint density
Marking systemic portfolio risk with the Merton model
Marking systemic portfolio risk with the Merton model
Stressed in Monte Carlo
Stressed in Monte Carlo