Similar Search Results - EconBiz

VolGAN: a generative model for arbitrage-free implied volatility surfaces

Vuletić, Milena; Cont, Rama - In: Applied mathematical finance 31 (2024) 4, pp. 203-238

Persistent link: https://www.econbiz.de/10015415726

Simulation of Arbitrage-Free Implied Volatility Surfaces

Cont, Rama; Vuletić, Milena - 2023

We present a computationally tractable method for simulating arbitrage free implied volatility surfaces. We illustrate how our method may be combined with a factor model for the implied volatility surface to generate dynamic scenarios for arbitrage-free implied volatility surfaces. Our approach...

Persistent link: https://www.econbiz.de/10014258455

Model uncertainty and its impact on the pricing of derivative instruments

Cont, Rama - In: Mathematical finance : an international journal of … 16 (2006) 3, pp. 519-547

Persistent link: https://www.econbiz.de/10003338693

Financial modelling with jump processes

Cont, Rama; Tankov, Peter - 2004

Persistent link: https://www.econbiz.de/10001790344

Stochastic models of implied volatility surfaces

Cont, Rama; Fonseca, José da; Durrleman, Valdo - In: Economic notes : economic review of Banca Monte dei … 31 (2002) 2, pp. 361-377

Persistent link: https://www.econbiz.de/10001676006

Non-parametric calibration of jump-diffusion option pricing models

Cont, Rama; Tankov, Peter - In: The journal of computational finance 7 (2004) 3, pp. 1-49

Persistent link: https://www.econbiz.de/10002060727

Credit derivatives and structured credit : a guide for investors

Bruyère, Richard - 2006

Persistent link: https://www.econbiz.de/10003106500

Integro-differential equations for option prices in exponential Lévy models

Cont, Rama; Voltchkova, Ekaterina - In: Finance and stochastics 9 (2005) 3, pp. 299-325

Persistent link: https://www.econbiz.de/10002946674

Frontiers in quantitative finance : volatility and credit risk modeling

Cont, Rama (ed.) - 2009

Persistent link: https://www.econbiz.de/10003722007

Recovering volatility from option prices by evolutionary optimization

Hamida, Sana Ben; Cont, Rama - In: The journal of computational finance 8 (2004/2005) 4, pp. 43-76

Persistent link: https://www.econbiz.de/10002990524

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