A "best practice" is a method or process that practitioners recognize (usually through experience and research) as being more effective at getting the job done than other methods (or processes).

learn more… | top users | synonyms

5
votes
1answer
141 views

Extrapolating SVI

In his paper Gatheral presents the following parametrization of the implied total variance $w(k,T) = \sigma_{BS}(k,T)^2T$ $$ w(k) = a + b\{\rho (k-m) + \sqrt{(k-m)^2 + \sigma^2} \}.$$ Assuming that ...
3
votes
0answers
408 views

What's the practical difference between the Johansen vs Engle-Granger tests for cointegration?

For the two-variable case, what are the practical differences between using the Engle-Granger procedure versus the Johansen test for cointegration? Is one universally more powerful than the other? ...
0
votes
0answers
3 views

FX Modeling references

I would like to have some sugestions of reference books on FX modeling with strong mathematical approach, preferably combined with market pratictioner quant perspective. All sugesting are welcome! ...
0
votes
0answers
35 views

Approaches to check/validate the output of an optimization algorithm

Let's say we want to optimize the a function $f(x_1,\dots, x_n)$ with $(x_1, \dots , x_n) \in \mathbb{D}^n$. For the sake of simplicity let $\mathbb{D}^n$ be the unit sphere. We chose an optimization ...