Nicola F. Zaugg

According to our database, Nicola F. Zaugg authored at least 2 papers between 2025 and 2026.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of five.

2026

Basket options with volatility skew: Calibrating a local volatility model by sample rearrangement.

Nicola F. Zaugg, Lech A. Grzelak

Appl. Math. Comput., 2026

2025

Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces.

Nicola F. Zaugg, Leonardo Perotti, Lech A. Grzelak

SIAM J. Financial Math., 2025