STOCHASTIC VOLATILITY MODELING

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