Academic literature on GARCH and flavors of GARCH runs in to tons of papers by various researchers. The idea behind GARCH and all its flavors is that there is a conditional variance equation governing the evolution of usual returns, the residuals of which were otherwise assumed homoscedastic. There are a lot of variations of this conditional variance equation which gives rise to various flavors of GARCH. Some of the markets have seen EGARCH performing better than other flavors.

Via NYT: “If a foreign-born engineer doesn’t come to Google, there is a very good chance that individual will return to India to compete against us.”

Smiles & Smirks are what one would get to see about Vols in US Markets. However a quick crunching of NIFTY options show that implied volatility is more V Shaped. Infact Puts are tilted towards right and Calls towards left. Here is an illustration between moneyness and implied vol. Something to think about :How do you model this quasi V shaped market phenomenon ? and more importantly How do you make money ?

Salih Neftci– Any student in the quant world would have come across this professor while reading either of his wonderful books on option pricing. He was a very popular professor in the NYC area and more so at CUNY. Some of my friends who attended his classes were all gaga about the way he brought things to perspective. Came to know from my director that Prof Neftci passed away last night in Switzerland, after a one-year battle with cancer.

Came across a wired article which says the following copula formula by David X.Li was widely used for securitization models. Results are known to everyone now! Link :Wired