In this paper, we consider a large class of continuous semi-martingale models and propose a generic framework for their simultaneous calibration to vanilla and no-touch options. The method builds on ...

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Stochastic volatility models have revolutionised the field of option pricing by allowing the volatility of an asset to vary randomly over time rather than remain constant. These models have ...

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) ...

Deep learning is increasingly used in financial modeling, but its lack of transparency raises risks. Using the well-known Heston option pricing model as a benchmark, researchers show that global ...

Somer G. Anderson is CPA, doctor of accounting, and an accounting and finance professor who has been working in the accounting and finance industries for more than 20 years. Her expertise covers a ...

This content is provided by an external author without editing by Finextra. It expresses the views and opinions of the author. The Universal Local Stochastic Volatility Model with Jumps (ULSVJ) helps ...

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...

Volatility modeling is no longer just about pricing derivatives—it's the foundation for modern trading strategies, hedging precision, and portfolio optimization. Whether you're trading gold futures, ...