Numerix Quantitative Leadership Series: New Arbitrage-Free Parametric Volatility Surface
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17 April 2019
Speaker: Dr. Michael Konikov, Senior Vice President and Head of Quantitative Development
- 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
Industry or Business Focus
Asia-Pacific, EMEA, LATAM, North America