1. Ecient Numerical PDE Methods to Solve Calibration andPricing Problems in Local Stochastic Volatility ModelsArtur SeppBank of America Merrill Lynch, [email protected]…
1. Volatility derivatives and default riskARTUR SEPPMerrill LynchQuant Congress LondonNovember 14-15, 20071 2. Plan of the presentation1) Heston stochastic volatility model…
1. Achieving Consistent Modeling Of VIX and EquitiesDerivativesArtur SeppBank of America Merrill Lynch, [email protected] Derivatives Trading & Risk Management…