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goldman-sachs-quantitative-strategies-research-notes's Introduction

Publications:

  • Enhanced Numerical Methods For Options With Barriers
  • How To Value And Hedge Options On Foreign Indexes
  • Implied Trinomial Trees Of The Volatility Smile
  • Investing In Volatility
  • Model Risk
  • More Than You Ever Wanted To Know About Volatility Swaps
  • Regimes of Volatility Some Observations On The Variation Of S&P 500 Implied Volatilities
  • Static Options Replication
  • Stochastic Implied Trees: Arbitrage Pricing With Stochastic Term Adn Strike Structure Of Volatility
  • Strike-Adjusted Spread: A New Metric For Estimating The Value Of Equity Options
  • The Local Volatility Surface: Unlocking The Information In Index Option Prices
  • The Volatility Smile And Its Implied Tree
  • Trading And Hedging Local Volatility
  • Valuing Convertible Bonds As Derivatives
  • Valuing Options On Periodically-Settled Stocks
  • When You Cannot Hedge Continuously: The Corrections To Black-Scholes

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