Speaker: Dr. Michael Konikov, Senior Vice President and Head of Quantitative Development

Topics discussed:

• Reviewed the desirable characteristics of a volatility surface
• Presented the properties of the new Numerix Ensemble Carr-Pelts (ECP) volatility surface
• Explained how to calibrate Numerix ECP to market data and how to use it in stochastic models (LV and LSV)
• Reviewed the most popular parametric volatility surfaces, SABR and Stochastic Volatility Inspired (SVI)
• Compared Numerix ECP and SVI using accuracy and speed benchmarks