interest rates, foreign short interest rates and stochastic volatility. Then, we apply Least Squares Monte Carlo (LSM) method … for pricing American options under our model with stochastic volatility and stochastic interest rate. Finally, by …

This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by … the volatility dynamics dVt = κt.(θt − Vt).dt λt.Vt.dBt. This non-affine model is much more realistic than classical … affine models like the Heston stochastic volatility model, even though both are as parsimonious (only four stochastic …

This paper provides a number of relevant guidelines to build a consistent Volatility Smile accounting for the FX market …

known announcements can produce significant distortions in option volatility surfaces. This presents a challenge, or …, frowns and W-shapes. Furthermore, we demonstrate the model's calibration to the observed volatility surface leading up to the … volatility interpolation. Finally, we discuss how the jump probabilities are becoming increasingly observable via alternative …

We propose a Monte-Carlo calibration method for multi-currency Hybrid Local Volatility models a la Dupire. The …