Stochastic local volatility (SLV)
Swaptions vol modelling tweak opens up pricing possibilities
Nomura quant proposes local volatility model that can directly calibrate to swaption smiles
What causes forex correlation swaps to be mispriced?
UBS quants show prices can differ by up to 25 correlation points if products modelled accurately
Cutting edge intro: history in the modelling
Bloomberg quant Guyon delivers an alternative to stochastic local volatility
Path-dependent volatility
Julien Guyon on path-dependent volatility models