Stochastic volatility
Isolating a risk premium on the volatility of volatility
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
A novel Fourier transform B-spline method for option pricing
By means of B-spline interpolation, this paper provides an accurate closed-form representation of the option price under an inverse Fourier transform.
Greeks with continuous adjoints: fast to code, fast to run
Marzio Sala and Vincent Thiery show the derivation of the continuous adjoint problem for PDEs
Heston model: shifting on the volatility surface
Stochastic volatility model combining Heston vol model and CIR++
The stochastic-volatility, jump-diffusion optimal portfolio problem with jumps in returns and volatility
The risk-averse optimal portfolio problem is treated with consumption in continuous time for a stochastic jump-volatility-jump-diffusion (SJVJD) model for both the risky asset and the volatility.
Path-dependent volatility
Julien Guyon on path-dependent volatility models
Local correlation families
Local correlation families
Rational shapes of local volatility
Rational shapes of local volatility
Expanded forward volatility
Expanded forward volatility
Cutting edge 2012: From stochastic volatility to shameful scams
From stochastic volatility to shameful scams