volatility documents

Consistently Modeling Joint Dynamics of Volatility and Underlying To Enable Effective Hedging
Economy & Finance Consistently Modeling Joint Dynamics of Volatility and Underlying To Enable Effective Hedging
Achieving Consistent Modeling Of VIX and Equities Derivatives
Economy & Finance Achieving Consistent Modeling Of VIX and Equities Derivatives
Realized and implied index skews, jumps, and the failure of the minimum-variance hedging
Economy & Finance Realized and implied index skews, jumps, and the failure of the minimum-variance hedging
Stochastic Local Volatility Models: Theory and Implementation
Economy & Finance Stochastic Local Volatility Models: Theory and Implementation
Quantitative Methods for Counterparty Risk
Economy & Finance Quantitative Methods for Counterparty Risk
Efficient Numerical PDE Methods to Solve Calibration and Pricing Problems in Local Stochastic Volatility Models
Economy & Finance Efficient Numerical PDE Methods to Solve Calibration and Pricing Problems in Local Stochastic Volatility Models
Volatility derivatives and default risk
Economy & Finance Volatility derivatives and default risk
An Approximate Distribution of Delta-Hedging Errors in a Jump-Diffusion Model with Discrete Trading and Transaction Costs
Economy & Finance An Approximate Distribution of Delta-Hedging Errors in a Jump-Diffusion Model with Discrete Trading and Transaction Costs