Introduction Duality – Statement Duality – Proof Hedging in markets with model ambiguity H. Mete Soner

Source URL: www.ccfz.ch

• Mathematical finance
• Technical analysis
• VIX
• Volatility
• Duality
• Local volatility
• Hedge

PRICING WITH SPLINES C. GOURIEROUX 1 and A. MONFORT

Source URL: www.istfin.eco.usi.ch

• Mathematical finance
• Options
• BlackScholes model
• Moneyness
• Local volatility
• Volatility
• Laplace distribution
• Stochastic volatility
• Normal distribution
• Implied volatility
• Volatility smile

Research in International Business and Finance–251 Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany Niklas Wagner a,∗ , Alexander Szimayer b a

Source URL: www.wiwi.uni-passau.de

• Mathematical finance
• Volatility
• VIX
• Implied volatility
• Stochastic volatility
• VDAX
• Stock market index
• Moneyness
• Volatility smile
• S&P/ASX 200 VIX

PRICING OPTIONS USING IMPLIED TREES: EVIDENCE FROM FTSE-100 OPTIONS KIAN GUAN LIM* DA ZHI

Source URL: www3.nd.edu

• Mathematical finance
• Options
• Volatility smile
• Implied volatility
• Local volatility
• BlackScholes model
• Volatility
• Stochastic volatility
• Valuation of options
• Binomial options pricing model
• Lattice model

Option Pricing on Cash Mergers Victor H. Martinez, Ioanid Ro¸su and C. Alan Bester∗ September 30, 2009 Abstract When a cash merger is announced but not completed, there are two main sources

Source URL: www.hec.unil.ch

• Mathematical finance
• Options
• BlackScholes model
• Volatility
• Implied volatility
• Moneyness
• Binary option
• Putcall parity
• Risk-neutral measure
• Local volatility
• VIX

The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation Anthonie W. van der Stoepb,c∗ Lech A. Grzelakb,c Cornelis W. Oosterleea,c

Source URL: ta.twi.tudelft.nl

Heston Stochastic Local Volatility Model Klaus Spanderen1 R/Finance 2016 University of Illinois, Chicago May 20-21, 2016

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DELFT UNIVERSITY OF TECHNOLOGY REPORTAn Equity-Interest Rate Hybrid Model With Stochastic Volatility And The Interest Rate Smile Lech A. Grzelak, Cornelis W. Oosterlee

Source URL: www.ewi.tudelft.nl

• Finance
• Hull–White model
• LIBOR market model
• Heston model
• Stochastic volatility
• Local volatility
• Short-rate model
• Forward measure
• Cox–Ingersoll–Ross model
• Mathematical finance
• Financial economics
• Statistics

DELFT UNIVERSITY OF TECHNOLOGY REPORTIncorporating an Interest Rate Smile in an Equity Local Volatility Model L.A. Grzelak & N. Borovykh & S. van Weeren & C.W. Oosterlee

Source URL: www.ewi.tudelft.nl

Is the minimum value of an option on variance generated by local volatility? Mathias Beiglb¨ock∗, Peter Friz†and Stephan Sturm‡ January 22, 2010 Abstract

Source URL: www.mat.univie.ac.at