The theory behind genOTC has been fully recognized by the scientific community and has become an active field of research supported by numerous researchers around the world
Path Dependent Optimal Transport and Model Calibration on Exotic Derivatives
Structured products are heavily traded by investment banks. They are in essence much morecomplicated to price than European options, and their prices rely on banks internal models (asopposed to listed products whose prices are observable).The method above can be extended to calibrate on exotic, path dependent products (asian, barrier…). This is the first method that allows to calibrate exactly on such products.
Get Full TextJoint Calibration of VIX and SPX options
The CBOE VIX index allows investors to trade directly on the volatility of the underlying SPX index.Since its introduction by CBOE in 2006, VIX has become a very popular and liquid tradinginstrument.This is a well known challenge for the industry to jointly price SPX and VIX options, taking intoaccount the possibility of arbitrage between both set of products; this work addressessuccessfully the problem, by using methods originating in Optimal Transport.
Get Full TextCalibration of Local-Stochastic Volatility Models by Optimal Transport
Local Stochastic Volatility (LSV) models are currently the norm to price exotic options. They offer the modelling capability of stochastic volatility, and the flexibility of local volatility to match observed market prices of listed products, e.g. European options.The method proposed here, first of its kind, allows to exactly calibrate a LSV model in order matcha given set of observable prices.
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