Local volatility - PDFSEARCH.IO - Document Search Engine

Local volatility
Results: 96

#	Item
81	Valuing American options in the presence of user-defined smiles and time-dependent volatility: scenario analysis, model stress and lower-bound pricing applications. Peter J¨ackel∗ Riccardo Rebonato† Add to Reading List Source URL: www.pjaeckel.webspace.virginmedia.com Language: English - Date: 2011-07-26 17:24:32 Finance Investment Volatility smile Volatility Implied volatility Local volatility Stochastic volatility Black–Scholes Moneyness Financial economics Mathematical finance Options
82	Peter J¨ackel∗ and Christian Kahl† Hyp Hyp Hooray First version: This version: Add to Reading List Source URL: www.pjaeckel.webspace.virginmedia.com Language: English - Date: 2011-07-26 17:12:05 Finance Volatility Implied volatility Local volatility Stochastic volatility Stochastic differential equation Heston model Variance swap Log-normal distribution Mathematical finance Statistics Financial economics
83	Stochastic Volatility Models: Past, Present and Future ∗ ¨ Peter Jackel Add to Reading List Source URL: www.pjaeckel.webspace.virginmedia.com Language: English - Date: 2011-07-26 17:45:48 Options Investment Technical analysis Stochastic volatility Volatility Interest rate derivative Volatility smile Local volatility Mathematical finance Financial economics Finance
84	Doubts and Variability Rhys Bidder∗ Federal Reserve Bank of San Francisco Matthew E. Smith† Federal Reserve Board Add to Reading List Source URL: www.scu.edu Language: English - Date: 2013-04-15 13:17:53 Financial system Volatility Stochastic volatility Economic model Local volatility Implied volatility Mathematical finance Financial economics Finance
85	Efficient Numerical PDE Methods to Solve Calibration and Pricing Problems in Local Stochastic Volatility Models Artur Sepp Bank of America Merrill Lynch, London [removed] Global Derivatives Trading & Risk Manag Add to Reading List Source URL: math.ut.ee Language: English - Date: 2012-10-10 15:03:55 Investment Local volatility Stochastic volatility Volatility VIX Implied volatility Option Volatility smile Mathematical finance Financial economics Finance
86	Achieving Consistent Modeling Of VIX and Equities Derivatives Artur Sepp Bank of America Merrill Lynch, London [removed] Global Derivatives Trading & Risk Management 2012 Add to Reading List Source URL: math.ut.ee Language: English - Date: 2014-02-18 17:00:46 Investment VIX Volatility smile Stochastic volatility Volatility Implied volatility Local volatility IVX Mathematical finance Financial economics Finance
87	Stochastic Local Volatility Models: Theory and Implementation Artur Sepp Bank of America Merrill Lynch University of Leicester, UK December 9, 2010 Add to Reading List Source URL: math.ut.ee Language: English - Date: 2011-03-27 17:30:28 Options Investment Black–Scholes Local volatility Volatility Implied volatility Stochastic volatility TN Mathematical finance Financial economics Finance
88	Laughter in the Dark - The Problem of the Volatility Smile Emanuel Derman May 26, 2003 Add to Reading List Source URL: www.emanuelderman.com Language: English - Date: 2013-09-06 07:47:45 Finance Investment Volatility smile Implied volatility Stochastic volatility Volatility Local volatility Black–Scholes Foreign-exchange option Financial economics Mathematical finance Options
89 $Mathematics / Volatility / Local volatility / Black–Scholes / Multifractal system / Log-normal distribution / Autoregressive conditional heteroskedasticity / Renormalization group / Time series / Mathematical finance / Statistics / Financial economics$	Eur. Phys. J. B 2, 277–[removed]THE EUROPEAN Add to Reading List Source URL: www.finance.martinsewell.com Language: English - Date: 2013-01-21 16:27:57 Mathematics Volatility Local volatility Black–Scholes Multifractal system Log-normal distribution Autoregressive conditional heteroskedasticity Renormalization group Time series Mathematical finance Statistics Financial economics
90	Journal of Banking & Finance[removed]–2980 www.elsevier.com/locate/econbase Add to Reading List Source URL: www.carolalexander.org Language: English - Date: 2009-12-05 08:15:55 Finance Investment Volatility smile Local volatility Stochastic volatility Volatility Implied volatility Black–Scholes Foreign-exchange option Financial economics Mathematical finance Options

UPDATE