An overview of continuous (semi-martingale) optimal transport for model calibration is given in this paper. Ivan Guo et al present the general framework and then discuss the calibration of local, and ...

Stochastic volatility represents an essential framework for understanding the dynamic uncertainty inherent in financial markets. This approach extends traditional models by recognising that volatility ...

A new entrant into the over-the-counter (OTC) markets is the return barrier option. For these contracts, a large (daily) return event triggers a knockout, so they have a unique and direct exposure to ...

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...

This course is available on the MSc in Applicable Mathematics, MSc in Financial Mathematics, MSc in Quantitative Methods for Risk Management, MSc in Statistics (Financial Statistics) and MSc in ...