Whether the financial markets are turbulent or calm, the subject of volatility has been of great interest to quants for decades. Some of the pioneering research was published in the mid-1990s, ...
The ability to compute exotic greeks is important in explaining profit and loss statements, but what is the best way to calculate them effectively? In a virtual talk for the Bloomberg Quant (BBQ) ...
We present an algorithm for the calibration of local volatility from market option prices through deep self-consistent learning, by approximating both market option prices and local volatility using ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback