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 ...

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, ...

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 ...

Pietro Rossi had a problem. An insurance company needed a model that could price bonds based on the likelihood of changes in credit ratings. The standard, off-the-shelf models are based on probability ...

Learn about Robert F. Engle III, a Nobel laureate credited with developing the ARCH model for analyzing financial market ...

Bitcoin volatility is pushing investors toward diversified crypto allocation models to manage risk, stabilize returns, and ...

We extend the existing small-time asymptotics for implied volatilities under the Heston stochastic volatility model to the multifactor volatility Heston model, which is also known as the Wishart ...

This paper is devoted to the price–storage dynamics in natural gas markets. A novel stochastic path-dependent volatility model is introduced with path dependence in both price volatility and storage ...

Citations: Andersen, Torben Gustav, Tim Bollerslev. 1998. Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts. International ...