5 citations · 14 across the 12 of their papers we have counts for
4 papers · 1 filter
Inflation Models with Correlation and Skew
Orcan Ogetbil, Bernhard Hientzsch
We formulate a forward inflation index model with multi-factor volatility structure featuring a parametric form that allows calibration to correlations between indices of different…
A Flexible Commodity Skew Model with Maturity Effects
Orcan Ogetbil, Bernhard Hientzsch
We propose a non-parametric extension with leverage functions to the Andersen commodity curve model. We calibrate this model to market data for WTI and NG including option skew at…
Calibrating Local Volatility Models with Stochastic Drift and Diffusion
Orcan Ogetbil, Narayan Ganesan, Bernhard Hientzsch
We propose Monte Carlo calibration algorithms for three models: local volatility with stochastic interest rates, stochastic local volatility with deterministic interest rates, and…
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
Orcan Ogetbil, Bernhard Hientzsch
We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochastic local volatility. First, we handle a case in which the drift is given as diff…