Numerix Quantitative Leadership Series: New Arbitrage-Free Parametric Volatility Surface

Finding a good parametric volatility surface is far from a fully solved problem. On Wednesday, April 17th at 10 AM EDT, Dr. Michael Konikov, SVP and Head of Quantitative Development introduced a new parametric volatility surface, Ensemble Carr-Pelts (ECP), that guarantees the absence of arbitrage and has closed form expressions for both options values and local volatility. Numerix ECP can be made parsimonious, and at the same time flexible as needed. The property of having smooth analytic formula for the local volatility can be used in Local Volatility (LV) and Local-Stochastic Volatility (LSV) models when the surface is used as input into these more complicated stochastic models.

In this webinar presentation Dr. Konikov:

  • Reviewed the desirable characteristics of a volatility surface
  • Presented the properties of the new Numerix Ensemble Carr-Pelts (ECP) volatility surface
  • Explained how to calibrate Numerix ECP to market data and how to use it in stochastic models (LV and LSV)
  • Reviewed the most popular parametric volatility surfaces, SABR and Stochastic Volatility Inspired (SVI)
  • Compared Numerix ECP and SVI using accuracy and speed benchmarks



Featured Speaker:

Dr. Michael Konikov, Senior Vice President and Head of Quantitative Development
Dr. Michael Konikov is a Senior Vice President and Head of Quantitative Development at Numerix, where he manages a team responsible for the development and delivery of models in Numerix software.  Previously, he worked at Citigroup, Barclays, and Bloomberg in quantitative research and desk quant roles.  He completed his PhD in mathematical finance at the University of Maryland College Park, concentrating, in particular, on the application of pure jump processes to option pricing.  Dr. Konikov's publications cover diverse asset classes ranging from equity to interest rates and credit. He has been published four technical articles in RISK Magazine on interest rate modeling, SABR model, and algorithmic differentiation for PV and XVA Greeks. Dr. Konikov is also co-author of the upcoming book Alexandre Antonov, Michael Konikov, Michael Spector “Modern SABR Analytics,” Springer (2019).


JamesJockleModerator: James Jockle, Chief Marketing Officer, Numerix
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing. Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.

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