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How I Successfully Forecast The Results Of The UK General Election 2015
Paul Wilmott 2011 Views
Brought to you by Wilmott.com and the CQF Institute, Dr. Paul Wilmott talked about how he applied elementary quantitative finance techniques in the run up to the UK General Election 2015 to successfully predict the next government.
Comparisons are made between elections and derivatives valuation, and this allows forecasting pitfalls to be avoided, pitfalls that most, if not all, professional forecasters fell into. The results were thus far better than those made by said professionals.
Stochastic Volatility Membrane
Kirill Ilinski & Oleg Soloviev 3171 Views

All practical solutions in pricing and hedging exotic derivatives rely heavily on realistic modelling of implied volatility surfaces. Here we suggest an easily implementable multifactor stochastic volatility model, which treats the local volatility surface dynamics as deformations of a two-dimensional membrane subjected to local stochastic shocks. The model uses a small number of parameters, which can be directly estimated from historical data and is calibrated to prices of European derivatives by construction.

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