|Options||Sales Start||Sales End||Availability||Price|
Parametrizations of the volatility surface such as the Stochastic Volatility Inspired (SVI) are widely used by practitioners as a tool for arbitrage-free interpolation or extrapolation of implied volatility. We review some pitfalls in the pricing of some exotic options which can arise when a pricing model is calibrated to the parametrized surface without due regard for the original market data, and discuss some ways of preventing them.
Cass Business School, 106 Bunhill Row
106 Bunhill Row, London EC1Y 8TZ, UK
Marco de Innocentis
Marco is a senior quantitative analyst in the Exposure Modelling team within the Investment Banking Division of Credit Suisse. His areas of expertise include counterparty credit risk modelling, derivative pricing, stochastic volatility and jump processes. The main focus of his current work is the development of Monte Carlo simulation and pricing models for exposure calculation of bilateral OTC derivatives. Marco is an Honorary Fellow at the University of Leicester, holds a Ph.D. in Mathematics and has authored several articles in peer-reviewed journals in the fields of Quantitative Finance and Integrable Systems.
Contact the organizers