smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2002SMQ / 80795176340542
The skewed multifractal random walk with applications to option smiles
B. Pochart / J. -P. Bouchaud
stochastic processesResource overview

The skewed multifractal random walk with applications to option smiles

Paper2002

by B. Pochart, J. -P. Bouchaud

Tags
stochastic processes

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for stochastic processes and pricing and options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

  3. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  4. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

  2. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Derivatives Pricing and Computational Finance

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

B. Pochart, J. -P. Bouchaud

5