Degree of influence: volatility shakes markets and quant finance

Adeyemi Sonubi
11 Dec 2020

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Perhaps fittingly in a year of unexpected turbulence, Risk.net’s Cutting Edge section published a flurry of papers on volatility modelling in 2020. Among them was a pair of solutions to a problem that has baffled quants for more than a decade – the joint calibration of S&P 500 and Vix options.

Julien Guyon, a senior quantitative analyst at Bloomberg, performed the calibration with a discrete-time optimal transport model, which, according to the

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