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Top News In Local Volatility Models Today - Breaking & Trending Today

Degree of influence 2023: Quants thrive on volatility

Climate, crypto and market impact also featured among the top research topics in 2023 ....

Cutting Edge , Interest Rates , Local Volatility Models , Olatility Of Volatility , Climate Change , Sur Take ,

Skew this: taking the computational burden off basket options

Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant ....

Julius Baer , Monte Carlo , Valer Zetocha , Dan Pirjol , Marco Avellaneda , Stevens Institute Of Technology , Stevens Institute , Basket Options , Orst Of Baskets , Volatility Skew , Option Pricing , Implied Volatility , Volatility Smile , Volatility Surface , Local Volatility Models ,

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 , Communications In Pure , Communications On Pure , Stevens Institute , Applied Mathematics , Statistical Computing , Advanced Methods , Option Pricing , Financial Mathematics Series , Basket Options , Local Volatility Models , Implied Volatility , Volatility Surface , Option Pricing , Black Scholes , Cutting Edge ,

Reviving the lost art of perturbation for exotic pricing

Natixis quants find novel way to speed up volatility smile modelling ....

City Of , United Kingdom , Adil Reghai , Florian Monciaud , Vladimir Lucic , Danske Bank , Imperial College London , Antoine Savine , Implied Volatility , Volatility Smile , Local Volatility Models , Tochastic Local Volatility Slv , Dynamic Hedging , Sur Take ,

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 ....

Option Pricing , Local Volatility Models , Machine Learning , Gaussian Model , Original Research ,