Volatility forecasting is a key component of modern finance, used in asset allocation, risk management, and options pricing. Investors and traders rely on precise volatility models to optimize ...

Stochastic volatility models provide a framework in which the variability of asset returns is itself a random process, addressing empirical features such as volatility clustering, leverage effects and ...

Although intraday volatility has been studied extensively for many asset classes, there are still important questions to be answered: Is the unconditional mean diurnal profile time-invariant? Does ...

In Know Your Options, I tend to mention Implied Volatility quite often. I’m sure most readers already understand the general idea that options with high IVs are expensive and options with low IVs are ...

Volatility is a measure of risk that is the statistical quantification of a security's possible investment returns. In short, it means large swings in price over a short period of time. Volatility in ...

The ability to compute exotic greeks is important in explaining profit and loss statements, but what is the best way to calculate them effectively? In a virtual talk for the Bloomberg Quant (BBQ) ...

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