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From SABR to Geodesics A systematic approach for modeling volatility
 

Summary: 1
From SABR to Geodesics
A systematic approach for modeling volatility
curves with applications to option market-making and
pricing multi-asset equity derivatives
Marco Avellaneda
Courant Institute, New York University
Marco Avellaneda 2005
The Importance of Having a Listed Derivatives
Historical Database
Equity derivatives analysts can now access historical databases
on listed options at relatively low cost. They can:
Back-test models, especially calibration aspects
Debunk myths about option models (there are plenty of them!)
Back-test option strategies systematically, as is done for cash
trading
Test the stability of a skew and vol surface model with
real data
Learn more, by observation, get ideas...
Recommendation: IVY OptionMetrics

  

Source: Avellaneda, Marco - Department of Mathematics, Courant Institute of Mathematical Sciences, New York University

 

Collections: Mathematics