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April 26, 2024
A buy-side perspective on how to decompose the P&L of index options is presented
September 4, 2023
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
August 22, 2023
An analytic approximation for the implied volatility surface of basket options is introduced
August 1, 2023
MUFG Securities quant uses variational inference to control the mid volatility of options
November 9, 2022
Julius Bear quant’s arbitrage-free solution overcomes challenge of sparse data
July 4, 2022
The implied volatility in the Black-Scholes framework is not a constant but a function of both the strike price (“smile/skew”) and the time to expiry. A popular approach to recovering the volatility surface is through the use of deterministic volatility function models via Dupire's equation. A new method for volatility surface calibration based on the Mellin transform is proposed. An explicit formula for the volatility surface is obtained in terms of the Mellin transform of the call opt...
May 17, 2022
Unique information now “table stakes” for brokers as they compete for new clients
May 17, 2021
Move to cross-sell risk analytics could herald further content deals for bank’s Marquee platform, says sales chief