In a rapidly evolving digital landscape, Gurunath Dasari a seasoned financial technology researcher—explores the complexities ...

Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of ...

I like words. They’re kind of my thing. But I am man enough to admit that prior to a few years ago I had no idea that the word "stochastic," as in "stochastic terrorism," even existed ...

This paper examines the application of various stochastic volatility models to real data and demonstrates their effectiveness in calibrating a wide range of options, including those with short-term ...

We carry out a comparative performance analysis of different stochastic volatility (SV), stochastic correlation (SC), and stochastic exchange rate (SER) models to determine the best combination of ...

Stochastic volatility (SV) refers to the fact that the volatility of asset prices varies and is not constant, as is assumed in the Black Scholes options pricing model. Stochastic volatility ...

Abstract: In this paper, we address univariate stochastic volatility models that allow for correlation of the perturbations in the state and observation equations, i.e., models with leverage. We ...

This paper seeks to address these challenges by advancing fractional stochastic volatility (FSV) modeling and applying it to empirical analysis within the context of market microstructure. The novelty ...

Later a Partner at Goldman Sachs." Columbia University. "Local Volatility, Stochastic Volatility and Jump-Diffusion Models," Pages 1-3.

An implementation of the Heston model, a stochastic volatility model for options pricing. We compute prices of European call and put options via Monte Carlo simulation, for a variety of strike prices ...