Not sure if this forum allows this (if not, then my apologies and please delete this thread), but I am looking for
V. Durrleman, A note on initial volatility surface, Unpublished manuscript, February 2003.
Can't find it online. Does anyone have a copy?
Thanks.
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Re: looking for a paper
Thanks Bearish for the tip 
Are you sitting next to him by any chance?
Outrun, I just googled, indeed at DB.
Are you sitting next to him by any chance?Outrun, I just googled, indeed at DB.
Re: looking for a paper
Valdo has been located, but Valdo has not located the paper. I might have to visit the library of Alexandria to see if it's there - suffering from obsessive collector disorder (AFAIK not related to / caused by *the* Collector )
)Re: looking for a paper
Before booking your tickets you may want to check to make sure they are still open. I understand they have had some issues with books catching fire.
Re: looking for a paper
Anyone have a copy of "Very poor banksters' stochastic volatility model" by Andreasen & Huge, Danske Bank working paper, 2009?
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Re: looking for a paper
There is a paper "Volatility Interpolation" 2010 by them on SSRN. Might be in the same ball park?Anyone have a copy of "Very poor banksters' stochastic volatility model" by Andreasen & Huge, Danske Bank working paper, 2009?
Re: looking for a paper
Thanks, yes have the volatility interpolation paper. Might be in the same spirit, I don't know. In general I am always curious about "poor man's" papers as those sometimes contain elegant approximations / rules of thumbs.
Elegance is (nearly) everything.
Elegance is (nearly) everything.
Re: looking for a paper
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Last edited by gatarek on March 11th, 2019, 5:50 pm, edited 1 time in total.
Re: looking for a paper
Yes they should have the paper