Technical paper/Volatility surface
Simulation of Heston made simple
A new way to apply the classic stochastic volatility model is presented
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
Smile-consistent basket skew
An analytic approximation for the implied volatility surface of basket options is introduced
A robust stochastic volatility model for interest rates
A swaption pricing model based on a single-factor Cheyette model is shown to fit accurately
Sculpting implied volatility surfaces of illiquid assets
From the stock cumulative distribution function an arbitrage-free volatility surface is derived
Interpolating commodity futures prices with Kriging
A futures price’s term structure is built to account for trends and seasonality effects
An approximate solution for options market-making
An algorithm for the market-making of options on different underlyings is proposed
A new arbitrage-free parametric volatility surface
A new arbitrage-free volatility surface with closed-form valuation and local volatility is introduced
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.
Cutting Edge introduction: Continuity error
Continuity error
Cutting Edge: the year of CVA
The year of CVA
Filling the gaps
Filling the gaps