<t>QuoteOriginally posted by: AntonioMathematically, it can be shown that the smile generated by the CEV is strictly monotone (decreasing for beta<1, increasing for beta>1). So, if you want to calibrate a U-shape, you can't. Unless you add some time-change or other additional features.Curious, how d...

It seems not available on the web...Many thanks.

<t>There are two main kinds of quants working in finance industry, say, stat arb in buy side and prop desks in banks, and option pricing quants in sell side. If you face both career options after you graduate from a financial math PhD, which one would give you a, more promising(salary, progression.....

QuoteOriginally posted by: buildingsteamJonahHow do you come to this conclusion?Simply because large vol-vol will kill the stochasticity of vol process.

<t>This is quite popular as both CEV and Heston. I mean , here the CEV spot process with a Heston type stochastic volatility.Any results on its option pricing/transition probability? I know Atlan in 2005 Risk has something when correlation=0, which is essentially a CEV model + Hull White approach to...

Hybrids desk, quant/trader

I am very interested in the "More on Math Finance", definitely will make a buy.

To my knowledge, FPS model is not very popular in application due to its large mean-reversion rate. Heston(1993) and SABR(2002) are two of market's favourites.

<t>QuoteOriginally posted by: spacemonkeyMy favourite underrated model is of course the Stein and Stein stochastic volatility model. Very similar to Heston (equivalent for certain parameter choices), only far easier to simulate.Do you mean Schobel&Zhu(1999) model or the SS(1991) one? the latter ...

Hi Alan:When will this 2nd edition of SV come up to market? We have been waiting for years...

I have the same problem...I also tried to recover the derivation but was unsuccessful. Seems some simplification should be done through it.

Published on Stochastics 25, 233-240. by Nualart, D.,Ustunel, A., and Zakai, M. (1988)Many thanks!

Can be negative.... If you stick on it.

I am also looking for some comments. the title seems appealing but the price is.....

Any thoughts on this new book?(now published)Is it pure academic?