'Local volatility' presentation slideshows

Modelling the FX Skew

Modelling the FX Skew. Dherminder Kainth and Nagulan Saravanamuttu QuaRC, Royal Bank of Scotland. Overview. FX Markets Possible Models and Calibration Variance Swaps Extensions. FX Markets. Market Features Liquid Instruments Importance of Forward Smile. Spot. Spot. Volatility.

877 views • 61 slides

Volatility and Hedging Errors

Volatility and Hedging Errors. Jim Gatheral September, 25 1999. Background. Derivative portfolio bookrunners often complain that hedging at market-implied volatilities is sub-optimal relative to hedging at their best guess of future volatility but

518 views • 40 slides

Managing the Newest Derivatives Risks Michel Crouhy

Managing the Newest Derivatives Risks Michel Crouhy IXIS Corporate and Investment Bank / A subsidiary of NATIXIS Derivatives 2007: New Ideas, New Instruments, New markets NYU Stern School of Business, May 18, 2007. Agenda. Some Practical Aspects of Option Modelling:

584 views • 39 slides

FRONT ARENA

378 views • 37 slides

Interest rate models: from theory to practice

Interest rate models: from theory to practice. Ka Lok Chau HKUST, June 2005. Popular models still being used. Black, Derman and Toy (1989) Hull and White (1993) two- or three-factor extensions Gaussian Markovian short rate model (with s i (t) and l i (t))

658 views • 36 slides

Intraday Patterns in Jump Components of Equity Returns

Intraday Patterns in Jump Components of Equity Returns. Peter Van Tassel Duke University Durham, North Carolina 22 October 2007. Agenda. Brief summary of background literature and model considered Data The Lee-Mykland Statistic

456 views • 34 slides

328 views • 25 slides