Papers

Presentations

  • Smile Dynamics I
  • Smile Dynamics: modeling the smile of volatility (of volatility)
  • Smile Dynamics II
  • Static/dynamic properties of stochastic volatility models: a structural connection
  • Smile Dynamics III
  • Correlations in asynchronous markets
  • Smile Dynamics IV
  • Modeling VIX futures & VIX ETFs/ETNs
  • The smile in stochastic volatility models
  • The local volatility model
  • Correlations in asynchronous markets
  • Local/stochastic volatility models - and non-models
  • Multi-asset stochastic volatility
  • Local/stochastic volatility: models and non-models
  • What generates equity smiles ?
  • Know your Theta - and your Gamma P&L
  • Theta (and other Greeks): smooth barriers

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    STOCHASTIC VOLATILITY MODELING