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Location: Geneva, Switzerland
Joined: November 3rd, 2011
Activity
Gilles Zumbach wrote a new blog post titled New: Option Pricing and ARCH Processes
Recent progresses in option pricing using ARCH processes for the underlying are summarized. The stylized facts are multiscale heteroscedasticity, fat-tailed distributions, time reversal asymmetry, and leverage. The process equations are based on a finite time increment, relative returns, fat-tailed innovations, and multiscale ARCH volatility. The European option price is the expected payoff in the physical measure P weighted by the change of measure dQ/dP, and an expansion in the process increme
(486 days ago)
Gilles Zumbach wrote a new blog post titled New: Fast and Realistic European ARCH Option Pricing and Hedging
The behavior of the implied volatility surface for European options was analyzed in details in [Zumbach and Fernandez, 2011] for prices computed with a new option pricing scheme based on the construction of the risk-neutral measure for realistic processes with a finite time increment. The resulting dynamics of the surface is static in the moneyness direction, and given by a volatility forecast in the time-to-maturity direction. This difference is the basis of a cross-product approximation of the
(486 days ago)
About me:
I work in the industry as a "quant", doing research and development on many topics in finance, ranging from high-frequency data to long term forecasts, from option pricing to bond portfolio construction, from optimizing market orders to risk evaluations for complex portfolios. Recurring themes in my work are volatility, ARCH processes and their applications. I held various positions at banks, hedge funds and service providers and have written over 30 research papers in finance, most of them using careful empirical analyses combined with mathematical models. In a former life, I was as a physicist.
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