Technical paper/Path-dependent volatility
The importance of modelling futures dynamics in commodity index derivatives
Index-based and underlying-based pricing methods for commodity derivatives are presented
Path-dependent American options
In this paper, the authors investigate a path-dependent American option problem and provide an efficient and implementable numerical scheme for the solution of its associated path-dependent variational inequality.
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