STOCHASTIC VOLATILITY MODELING

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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