Romano Trabalzini

Imperial College London

South Kensington Campus

Exhibition Road

London, Greater London SW7 2AZ

United Kingdom

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Scholarly Papers (1)

1.

Deconstructing the Volatility Smile

Number of pages: 32 Posted: 25 Jul 2014
Romano Trabalzini and William A McGhee
Imperial College London and NatWest Markets
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Abstract:

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volatility Smile, SABR model, Heston model, volatility swap, quanto