Degree of influence 2023: Quants thrive on volatility
Climate, crypto and market impact also featured among the top research topics in 2023
Source: risk.net
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Skew this: taking the computational burden off basket options
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
Source: risk.net
Smile-consistent basket skew
An analytic approximation for the implied volatility surface of basket options is introduced
Monte Carlo Marco Avellaneda Laurence Wang Dan Pirjol Bayer Laurence Stevens Institute Of Technology
Source: risk.net
Reviving the lost art of perturbation for exotic pricing
Natixis quants find novel way to speed up volatility smile modelling
Source: risk.net
Probabilistic machine learning for local volatility - Journal of Computational Finance
In this paper, the authors propose to approach the calibration problem of local volatility with Bayesian statistics to infer a conditional distribution over
Source: risk.net
My kingdom for the right copula
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Buy Side Factor Models Kolmogorov Smirnov Test Local Volatility Models Quantitative Finance Sell Side
Source: risk.net