QATWALK welcomes all models - the jumps, the roughs, and fat tails...
In “A Perfect Calibration ! Now What ?,” 2003, Schoutens et al compared 7 volatility models to show that - though the models were calibrated to the same vanilla prices, they produced different results for exotics such as cliquets, barriers, etc.
Since then, many models have appeared in the landscape, such as the Bergomi, Rough Bergomi and Rough Heston models. There have been studies on the processes, calibration methods, and their implied vol surfaces, but no comprehensive study on their impact on different exotic contracts.
This repositary aims to be an open, collaborative, and growing study. It contains a number of models, with parameters calibrated to a common volatility surface. See the comparison of vanilla surfaces as a validation of the calibration.
It contains a series of notebooks, for different contracts such as cliquets, collars, forward collars, and lookback options, to compare prices from each model and gain insights of their specific dynamics.
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We have started with a few, and we will let the models, and contracts grow over time with more contributors.
You can contribute by
- writing new models (e.g. see Bergomi)
- writing new contracts, (e.g. see forward collars)
- calibration methods
Start by looking at the discussions and issues.