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q-fin.PR2025
Counterexamples for FX Options Interpolations -- Part II
Jherek Healy
This follow-up article analyzes the impact of foreign exchange option interpolation on the vanilla option implied volatilities. In particular different exact interpolations of brok…
q-fin.PR2025
Counterexamples for FX Options Interpolations -- Part I
Jherek Healy
This article provides a list of counterexamples, where some of the popular fx option interpolations break down. Interpolation of FX option prices (or equivalently volatilities), is…
q-fin.PR2025
Heston vol-of-vol and the VVIX
Jherek Healy
The Heston stochastic volatility model is arguably, the most popular stochastic volatility model used to price and risk manage exotic derivatives. In spite of this, it is not neces…