Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
In this paper, we consider a large class of continuous semi-martingale models and propose a generic framework for their simultaneous calibration to vanilla and no-touch options. The method builds on ...
The ability to compute exotic greeks is important in explaining profit and loss statements, but what is the best way to calculate them effectively? In a virtual talk for the Bloomberg Quant (BBQ) ...
Peter Friz, Paolo Pigato and Jonathan Seibel propose a modification of a given stochastic volatility model ‘backbone’ capable of producing extreme short-dated implied skews, without adding jumps or ...
This content is provided by an external author without editing by Finextra. It expresses the views and opinions of the author. The Universal Local Stochastic Volatility Model with Jumps (ULSVJ) helps ...
Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
The analytics provider says the new framework can also be employed by hedge funds to match market prices with near instantaneous calibration, and can be used for a range of different options types ...
Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
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