Mehdi El Amrani

Bloomberg L.P.

SCHOLARLY PAPERS

2

DOWNLOADS

1,789

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Does the Term-Structure of Equity At-the-Money Skew Really Follow a Power Law?

Number of pages: 18 Posted: 03 Aug 2022 Last Revised: 28 Mar 2023
Julien Guyon and Mehdi El Amrani
Ecole des Ponts ParisTech and Bloomberg L.P.
Downloads 1,671 (20,553)
Citation 3

Abstract:

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At-the-money skew, equity skew, variance curve models, calibration, power law, rough volatility, Bergomi model

2.

Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles

Number of pages: 14 Posted: 02 Oct 2019 Last Revised: 02 Feb 2021
Bloomberg L.P., Imperial College London and affiliation not provided to SSRN
Downloads 118 (437,972)

Abstract:

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implied volatility, absence of arbitrage, SSVI, bubbles