A one-factor stochastic local volatility model can solve the joint calibration problem
An arbitrage-free short-rate model for backward-looking compounded rates is presented
An analytic approximation for the implied volatility surface of basket options is introduced
A swaption pricing model based on a single-factor Cheyette model is shown to fit accurately
A power law can fit the ATM skew, but struggles with short maturities
The authors put forward a Bayesian nonparametric estimation method which reconstructs a counterfactual generalized Wiener measure from historical price data.
The authors investigate how time-varying higher moments and economic policy uncertainty may be used for predicting the renminbi exchange rate volatility.
A new model that jointly fits the smiles of VIX and SPX is presented
What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models
This paper offers a means of testing initial margin models based on their predictions of the whole future distribution of returns of the relevant portfolio which is demonstrated to be more powerful than typical backtesting approaches.
A portfolio optimisation technique for pension funds and insurance portfolios is presented
The relationship between crude oil futures and exchange rates in the context of the Covid-19 shock: a tale of two markets
The authors investigate the high-frequency intraday return and volatility transmission between crude oil futures prices and exchange rates during the 2020 Covid-19 pandemic in the Brent and INE markets.
An attention-based deep learning model for trading is presented
Introducing an algorithm for computing vega sensitivities at all strikes and expiries
The authors extend their impact cost model beyond the typical factors to address the larger transaction costs brought on by stock market crowding effects in times of market turbulence.
This paper investigates the impact of financial stress on the predictability of the realized volatility of five stock markets
From the stock cumulative distribution function an arbitrage-free volatility surface is derived
The authors consider the pricing of the Chicago Board options Exchange VIX, demonstrating experiments highlighting the efficiency of a multilevel approach in pricing of VIX options.
A framework to account for vanilla options' performance in trading strategies is presented
Forward start volatility swaps and their pricing and hedging models are introduced
This paper proposes the GARCH model combined with the Cornish–Fisher expansion for the oil VaR forecast.
We show that including risk reversals in an equity portfolio creates a better portfolio compared with a pure index position.
This paper examines the way that market efficiency and volatility clustering in the cryptocurrency markets can be inferred from benchmark index performance.
A local volatility model based on the Bass construction and alternative to Dupire-style models is introduced
Andersen's quadratic-exponential scheme is used for simulations of rough volatility models