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
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