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    Article

    The Dynamics of the S&P 500 Implied Volatility Surface

    This empirical study is motivated by the literature on “smile-consistent” arbitrage pricing with stochastic volatility. We investigate the number and shape of shocks that move implied volatility smiles and sur...

    George Skiadopoulos, Stewart Hodges, Les Clewlow in Review of Derivatives Research (2000)

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    Article

    Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach

    Simple analytical pricing formulae have been derived, by different authors and for several derivatives, under the Gaussian Langetieg (1980) model. The purpose of this paper is to use such exact Gaussian soluti...

    João Pedro Vidal Nunes, Les Clewlow, Stewart Hodges in Review of Derivatives Research (1999)