Risk Magazine Cutting Edge Article | A new arbitrage-free parametric volatility surface
Michael Konikov and Michael Spector of Numerix jointly with Alexandre Antonov at Danske Bank describe a new parametric volatility surface that is arbitrage free, is extremely rich and flexible, and has closed-form expressions for both European option values and local volatilities.The volatility surface is based on previous work by Carr and Pelts, for which the present authors provide a simple derivation and a concrete implementation.
Complete the form to download this Risk.net research paper, “A new arbitrage-free parametric volatility surface”
Authors: Dr. Alexandre Antonov, Dr. Michael Konikov, Dr. Michael Spector
Michael Konikov and Michael Spector of Numerix jointly with Alexandre Antonov at Danske Bank describe a new parametric volatility surface that is arbitrage free, is extremely rich and flexible, and has closed-form expressions for both European option values and local volatilities.The volatility surface is based on previous work by Carr and Pelts, for which the present authors provide a simple derivation and a concrete implementation.
Complete the form to download this Risk.net research paper, “A new arbitrage-free parametric volatility surface”
Authors: Dr. Alexandre Antonov, Dr. Michael Konikov, Dr. Michael Spector
Authors
Dr. Alexandre Antonov
Dr. Antonov received his PhD degree from the Landau Institute for Theoretical Physics in 1997 and joined Numerix in 1998, where he currently works as a Senior Vice President of Quantitative Research. His activity is concentrated on modeling and numerical methods for interest rates, cross currency, hybrid, credit and CVA. Dr. Antonov is a published author for multiple publications in mathematical finance, including RISK magazine and a frequent speaker at financial conferences.
Dr. Michael Konikov
Dr. Michael Konikov is a Senior Vice President and Head of Quantitative Development at Numerix, where he manages a team responsible for the development and delivery of models in Numerix software. Previously, he worked at Citigroup, Barclays, and Bloomberg in quantitative research and desk quant roles. He completed his PhD in mathematical finance at the University of Maryland College Park, concentrating in particular on the application of pure jump processes to option pricing. Dr. Konikov's publications cover diverse asset classes ranging from equity to interest rates and credit.
