Volatility

• Slides Arbitrage-free SVI volatility surfaces by Jim Gatheral***

• Mathematiques financieres ( Pricing + Volatility) By Peter Tankov

• Slides Volatility Smiles , Nikos Skantzos

• The SVI implied volatility model and its calibration ,KTH, by Alexander Aurell

• Numerical Pricing of Equity Barrier Options with Local Volatility TUDelft , MEREL ISABEL STOUT**

• Extrapolation analytics for Dupire’s local volatility

• On refined volatility smile expansion in the Heston model

• Local Volatility Models: Approximation and Regularization Stefan Gerhold

• Local volatility asymptotics and small-time central limit theorems Stefan Gerhold

• The Small Maturity Implied Volatility Slope for Lévy Models Stefan Gerhold

• Option Pricing in the Moderate Deviations Regime Stefan Gerhold

• 40 Master's Thesis supervised by Stefan Gerhold ***

• One more no-arbitrage parametric fit of volatility smile Andrey Itkin

• The SVI implied volatility model and its calibration by MEREL ISABEL STOUT , TUDelft

• Extrapolation analytics for Dupire’s local volatility Stefan Gerhold

• Volatilite locale et la formule de Dupire , Tankov , paris 7

• Deep Learning Volatility, Dr Blanka Horvath , king college

• Rough Volatility Literature

• Practice Volatility Projects with Python code :

1. All in one place , Rough Volatility , by Blanka

2. Rough volatility with Python by Jim Gatheral , Baruch College NY

3. rBergomi simulation and turbocharged pricing, by ryanmccrickerd

4. NN-StochVol-Calibrations by amuguruza

Trading Volatility through VIX futures. Part 1: Why VIX futures?

Trading volatility through VIX futures. Part 2: Pricing and Short Volatility Strategies