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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...

Bergomi, Lorenzo; Guyon, Julien - In: Risk : managing risk in the world's financial markets 25 (2012) 5, pp. 60-67

Persistent link: https://www.econbiz.de/10009978928

OPTION PRICING Smile dynamics II - In a previous Risk article, Lorenzo Bergomi highlighted how traditional stochastic volatility and jump-Lévy models impose structural constraints...

Bergomi, Lorenzo - In: Risk : managing risk in the world's financial markets 18 (2005) 10, pp. 67-73

Persistent link: https://www.econbiz.de/10007021515

CUTTING EDGE Equity derivatives Correlations in asynchronous markets The author addresses the issue of pricing multi-asset options in the context of asynchronous markets. Using the...

Bergomi, Lorenzo - In: Risk : managing risk in the world's financial markets 23 (2010) 11, pp. 72-79

Persistent link: https://www.econbiz.de/10009794287

Local-Stochastic Volatility : Models and Non-Models

Bergomi, Lorenzo - 2017

We examine local-stochastic volatility models and derive a simple condition such models need to obey so that the carry P&L of a delta-hedged/vega-hedged position makes sense in a trading context.We give examples of admissible and non-admissible models and discuss the issue of the delta position...

Persistent link: https://www.econbiz.de/10012965150

Correlations in Asynchronous Markets

Bergomi, Lorenzo - 2010

We address the issue of pricing multi-asset options in the context of asynchronous markets. Using the criterion that the carry P&L vanish we derive the expression of the correlation estimator for the asynchronous case. We study its historical behaviour for the case of the Stoxx50, S&P500, and...

Persistent link: https://www.econbiz.de/10013141325

CUTTING EDGE - Equity derivatives - Smile dynamics III - In two articles published in 2004 and 2005 in Risk, the author assessed the structural limitations of existing models for e...

Bergomi, Lorenzo - In: Risk : managing risk in the world's financial markets 21 (2008) 10, pp. 90-96

Persistent link: https://www.econbiz.de/10008136914