Current Issues
The TAP will maintain a list of issues compiled from input from B&H's own analysts, users of B&H calibration services and panel members.
The TAP will discuss and document priorities assigned to resolution of issues.
Live Issues
| Description | Status |
|---|---|
Revisit equity implied volatility extrapolation approach |
Work-in-progress Q4/2009 |
Swaption calibration methodologies |
Work-in-progress Q4/2009 |
Asset dependency and tail analysis |
Work-in-progress Q3/2009 |