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Finance / Volatility / Implied volatility / Local volatility / Stochastic volatility / Stochastic differential equation / Heston model / Variance swap / Log-normal distribution / Mathematical finance / Statistics / Financial economics


Peter J¨ackel∗ and Christian Kahl† Hyp Hyp Hooray First version: This version:
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Document Date: 2010-01-04 18:59:06

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File Size: 508,75 KB

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OTC Analytics Commerzbank / /

IndustryTerm

closed form solution / financial products / volatility smile dependent products / /

Person

Lipton / Christian Kahl† Hyp Hyp / /

Position

trader / volatility driver / driver / model / and demonstrate its accuracy / HypHyp model for short / model / forward / /

ProgrammingLanguage

K / /

Technology

ATM / simulation / /

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