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Latest Breaking News On - Local volatility models - Page 1 : comparemela.com
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
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
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