Calibration of the Volatility Surface Erik Nilsson [removed[removed]June 12, 2008 - Local volatility - Document - PDFSEARCH.IO

First Page	Meta Content
	Calibration of the Volatility Surface Erik Nilsson [removed[removed]June 12, 2008 Add to Reading List Document Date: 2008-06-30 03:46:20 Open Document File Size: 2,75 MB Share Result on Facebook Company CBS / Algorithmica Research AB / / / IndustryTerm numerical computing environment / algebraic solution / / MarketIndex S&P 500 / / Person Jim Gatheral / Fischer Black / Paul Hagan / Myron Scholes / Robert Thorén / Anders Forsgren / / Position author / model / Professor / e−rT / tutor / Ke−rT / / Technology Gauss-Newton algorithm / / SocialTag Finance Investment Stochastic processes Implied volatility Stochastic volatility Volatility Heston model Local volatility Black–Scholes Mathematical finance

Calibration of the Volatility Surface Erik Nilsson [removed[removed]June 12, 2008Add to Reading List