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Forward variance dynamics : Bergomi's model revisited
In this article, we propose an arbitrage-free modeling framework for the joint dynamics of forward variance along with the underlying index, which can be seen as a... -
Leverage vs. Feedback: Which Effect Drives the Oil Market?
This article brings new insights on the role played by (implied) volatility on the WTI crude oil spot price. An increase in the volatility subsequent to an increase in... -
Les Dérivés de Crédit: Étude Des Répercussions de la Prime de Risque de la Va...
Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual... -
Determining the implied volatility in the Dupire equation for vanilla Europea...
The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We prove Lipschitz stability in the inverse problem of determining... -
Option pricing for stochastic volatility models : Vol-of-Vol expansion
In this article, we propose an analytical approximation for the pricing of European op- tions for some lognormal stochastic volatility models. This approximation is a...
