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STOCHASTIC VOLATILITY MODELING
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CONTENTS & SAMPLE CHAPTERS
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Papers
Smile Dynamics I
Smile Dynamics II
Presentations
Smile Dynamics: modeling the smile of volatility (of volatility)
Static/dynamic properties of stochastic volatility models: a structural connection
Correlations in asynchronous markets
Smile Dynamics III
Smile Dynamics IV
Modeling VIX futures & VIX ETFs/ETNs
The local volatility model
The smile in stochastic volatility models
Local/stochastic volatility models - and non-models
Correlations in asynchronous markets
Multi-asset stochastic volatility
What generates equity smiles ?
Local/stochastic volatility: models and non-models
Know your Theta - and your Gamma P&L
Parametrization of correlations in multi SV/LSV models
Theta (and other Greeks): smooth barriers
Parametrization of correlation matrices in multi SV/LSV models
Volatility modeling: state of the art & outlook
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