Stochastic volatility models have revolutionised the field of option pricing by allowing the volatility of an asset to vary randomly over time rather than remain constant. These models have ...

Three main volatility models have been used so far in the finance industry: constant volatility, local volatility (LV) and stochastic volatility (SV). The first two models are complete: since the ...

We provide a simple, yet highly effective framework for forecasting return volatility by combining exponential generalized autoregressive conditional heteroscedasticity models with data on the range.

Volatility modeling is no longer just about pricing derivatives—it's the foundation for modern trading strategies, hedging precision, and portfolio optimization. Whether you're trading gold futures, ...

In the complete model with stochastic volatility by Hobson and Rogers, preference independent options prices are solutions to degenerate partial differential equations obtained by including additional ...

Whether the financial markets are turbulent or calm, the subject of volatility has been of great interest to quants for decades. Some of the pioneering research was published in the mid-1990s, ...

Implied volatility is a powerful but often misunderstood metric that plays a major role in options trading. Implied volatility doesn’t tell you what’s going to happen to an option’s price, but it ...

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 ...

For years, art historians and scientists have tried to unlock the mysteries of the Mona Lisa’s smile, which flickers and fades when viewed from different angles. Quants are similarly beguiled by the ...