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Quant Research
Models, derivations and worked examples
Quant Research
Implied Volatility and the Smile: What Option Prices Say About Risk
How implied volatility is extracted from prices, why index options are skewed, and how the smile maps to market-implied probabilities.
Part 2 of 6Oct 14, 202615 min read Quant Research Black-Scholes and the Greeks: The Foundation of Every Volatility SurfaceWhat the model assumes, what the formula really says, the Greeks, and the gamma-theta trade-off at the heart of options trading.
Part 1 of 6Oct 14, 202614 min readMarket Notes
What the volatility market is pricing right now
The first Market Notes post is on its way: a weekly look at the VIX curve, index skew and dealer gamma levels.
Series
Follow a topic from first principles
Series ยท Quant Research
From Black-Scholes to the Vol Surface
How option markets price volatility, from the textbook model to the arbitrage-free surfaces used by professional desks.
2 of 6 published
- 1Black-Scholes and the Greeks
- 2Implied Volatility and the Smile
- 3Local Volatility and Dupire's Formula
- 4Stochastic Volatility: the Heston Model
- 5The SABR Model
- 6Arbitrage-Free Surfaces: SVI and Mixtures of Lognormals