Presented at QuantMinds International | May 2019
This presentation entitled “New Arbitrage-Free Parametric Volatility Surface” was given by Dr. Michael Konikov of Numerix at QuantMinds International in Vienna on May 15th.
The presentation:
- Provided simplified exposition of the Carr-Pelts work
- Introduced a new arbitrage-free volatility surface with closed-form value and local vol (ECP)
- Provided a comparison with another popular parametric surface (SVI)
- Demonstrated use in stochastic models (LV and LSV)
- Gave numerical examples and comparisons
Numerix Presenter Bio:
Dr. Michael Konikov, SVP, Head of Quantitative Development, Numerix
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.
Complete the form to the right to download this slide deck from Dr. Michael Konikov's May 2019 QuantMinds International presentation.
