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Concept

Volatility smile

Related publications (24)

Inventory dynamics in process industries: An empirical investigation

Ralf Seifert, Olov Isaksson, Philipp Urs Moser

Process industry firms have thrived in recent decades, but changes in the markets are currently putting both growth and profitability at risk. In this context, inventory management is increasingly viewed as an essential lever for creating a sustainable com ...

Elsevier2017

Penser (par) la carte : l'espace public et la marche à Mumbai et à Tokyo

Carole Thérèse Lanoix

What do Marine Drive and Shibuya have in common? Both the long promenade at the southern end of Mumbai, and the gigantic pedestrian crossing in the heart of the Japanese capital, are places where one walks. This thesis discusses places of convergence and o ...

EPFL2017

Polynomial diffusions and applications in finance

Damir Filipovic, Martin Larsson

This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and ...

Springer Verlag2016

Insider Trading, Stochastic Liquidity, And Equilibrium Prices

Pierre Collin-Dufresne

We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks t ...

Wiley-Blackwell2016