In this article, we show how to calibrate the widely used SVI parameterization of the implied
volatility smile in such a way as to guarantee the absence of static arbitrage. In particular, we …

In this paper, we propose a general framework for the valuation of options in stochastic local
volatility (SLV) models with a general correlation structure, which includes the stochastic …

In this paper we propose a generalization of the recent work by Gatheral and Jacquier [J.
Gatheral and A. Jacquier, Quant. Finance, 14 (2014), pp. 59--71] on explicit arbitrage-free …

It is extremely challenging to design a model calibrating both SPX and VIX option prices. A
long‐standing conjecture due to Julien Guyon is that it may not be possible to calibrate …

We analyze in detail calibration and pricing performed within the framework of local
stochastic volatility LSV models, which have become the industry market standard for FX …

We design a novel calibration procedure that is designed to handle the specific
characteristics of options on cryptocurrency markets, namely large bid-ask spreads and the …

Since the development of the Black-Scholes model, research on equity derivatives has
evolved rapidly to the point where it is now difficult to cut through the myriad of literature to …

We present two new stochastic volatility models in which option prices for European plain-
vanilla options have closed-form expressions. The models are motivated by the well-known …

There are numerous models for specifying the uncertainty of future instantaneous volatility or
variance, including the Heston, SABR and ZABR models. Often it is observed that a specific …

We consider the stochastic volatility model d S t= σ t S td W t, d σ t= ω σ td Z t, with (W t, Z t)
uncorrelated standard Brownian motions. This is a special case of the Hull-White and the β …