Published in RISK, 10(6) Jun. 1997, p. 75 I often interview job candidates with degrees in science or finance. I `m always glad if they…
Comments closedAuthor: Emanuel Derman
If you examine the structure of listed index options prices through the prism of the implied tree model, you observe the local volatility surface of…
Comments closedModel Risk – FILL
Comments closedIn options markets where there is a significant or persis- tent volatility smile, implied tree models can ensure the consistency of exotic options prices with…
Comments closedMost real-world barrier options have no analytic solutions, either because the barrier structure is complex or because of volatility skews in the market. Numerical solutions…
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Comments closedThe Journal of Derivatives, 2-4 Summer 1995, pp. 78-95 This paper presents a method for replicating or hedging a target stock option with a portfolio…
Comments closedgs-volatility_smile RISK, 7-2 Feb.1994, pp. 139-145, pp. 32-39 The market implied volatilities of stock index options often have a skewed structure, commonly called “the volatility…
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Comments closedThis article describes a model of interest rates that can be used to value any interest-rate-sensitive security. In explaining how it works, we concentrate on…
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