• (a) J Guyon and P. Henry-Labordère, The Smile Calibration Problem Solved (2011). link to preprint

The by-now famous particle method for the calibration of Local-Stochastic volatility models to option prices, well-known among practitioners.
(The published version of this paper is Being particular about calibration, Risk Magazine, January 2012)



• (b) S. Hendriks, C. Martini. The Extended SSVI Volatility Surface, Journal of Computational Finance (2019). link to preprint

An extension of the SSVI implied volatility surface parametric model that was introduced at the end of TP2. The correlation parameter rho is now made time-dependent for an increased calibration performance: the no-arbitrage conditions on the resulting surface are analyzed.



• (c) L.C.G. Rogers, M.R. Tehranchi. Can the implied volatility surface move by parallel shifts?, Finance and Stochastics (2010). link

Some theoretical results on admissible dynamics for the implied volatility surface.



• (d) J. Guyon. A new class of local correlation models (2013) (sections 8, 11 and 12 can be skipped). link to preprint

Going beyond the local volatility model and the single-asset framework: local correlation models for multi-asset options and their calibration.