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Degree of influence 2023: Quants thrive on volatility

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

Cutting-edge
Modelling
Volatility
Data
Interest-rates
Ega
Local-volatility-models
Olatility-of-volatility
Cryptocurrency
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

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

Reviving the lost art of perturbation for exotic pricing

Natixis quants find novel way to speed up volatility smile modelling

London
City-of
United-kingdom
Greece
Greeks
Greek
Adil-reghai
Florian-monciaud
Vladimir-lucic
Linkedin
Danske-bank
Imperial-college-london

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

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