Stochastic volatility modeling

Dynamic properties of smile models

Bergomi, Lorenzo, (2009)

Derivatives pricing - Stochastic volatility's orderly smiles - The authors derive an expansion of the volatility surface of general stochastic volatility models at second order in volatility of volatility that is accurate for a wide range of strikes. They characterise the shape of stochastic volatility smiles in terms of three effective quantities that compactly summarise the joint dynamics of ...

Bergomi, Lorenzo, (2012)

OPTION PRICING Smile dynamics II - In a previous Risk article, Lorenzo Bergomi highlighted how traditional stochastic volatility and jump-Lévy models impose structural constraints on the relationship between the forward skew, the spot-volatility correlation and the term structure of the volatility of volatility. Here, he proposes a model that enables them to be controlled separately and also ...

Bergomi, Lorenzo, (2005)