Technical paper/Volatility smile
Skewing the correlation in local and stochastic volatility frameworks via copulas
A copula-based model to capture correlation skew in multi-asset derivatives is presented
Neural joint S&P 500/VIX smile calibration
A one-factor stochastic local volatility model can solve the joint calibration problem
Refined analysis of the no-butterfly-arbitrage domain for SSVI slices
The authors investigate the surface SVI model with three with three parameters, applying the SVI results to give the nobutterfly- arbitrage domain
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented
A robust stochastic volatility model for interest rates
A swaption pricing model based on a single-factor Cheyette model is shown to fit accurately
The quintic Ornstein-Uhlenbeck model for joint SPX and VIX calibration
A new model that jointly fits the smiles of VIX and SPX is presented
Trading the vol-of-vol risk premium
Applications of the vol-of-vol parameter for cross-asset derivatives are presented
Deep calibration of rough volatility models
Rough vol models are calibrated and fitted to SPX and Vix smiles
Singular exotic perturbation
A solution based on local volatility and sensitivities is proposed to calculate exotics' prices
A new fast local volatility model
A local volatility model based on the Bass construction and alternative to Dupire-style models is introduced
What is the volatility of an Asian option?
An adjustment for the volatility smile in Asian options is proposed
SABR smiles for RFR caplets
The SABR model for volatility is adapted to price risk-free rate caplets
Finite difference schemes with exact recovery of vanilla option prices
A model unifies the classic local vol and binomial trees to accurately price options
The quadratic rough Heston model and the joint S&P 500/Vix smile calibration problem
A combination of rough volatility and price-feedback effect allows for SPX-Vix joint calibration
The SABR forward smile
Thomas Roos presents the expressions for the implied volatilities of European and forward starting options
The extended SSVI volatility surface
This paper extends Gatheral and Jacquier’s surface stochastic volatility-inspired (SSVI) parameterization by making the correlation maturity dependent and obtaining the necessary and sufficient conditions for no calendar-spread arbitrage.
Pricing and hedging options with rollover parameters
This paper consists of a “horse race” study comparing (i) a number of option pricing models, and (ii) roll-over estimation procedures.
Model-free valuation of barrier options
Austing and Li provide a continuous barrier options pricing formula that fits the volatility smile
Cross-dependent volatility
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
Non-parametric local volatility formula for interest rate swaptions
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
Smile transformation for price prediction
Prediction of arbitrage-free option prices that outperform existing models