Some of the most fundamental and long-considered solved problems of financial engineering, such as construction of yield curves and calibration of implied volatility surfaces, have recently turned out ...
A local volatility model allows calibrating virtually at any strike and maturity provided the volatility surface which does not have any arbitrage. But its smile dynamics is not very realistic. A ...
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 ...
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