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 ...

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 ...

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

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

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, ...

Ignacio Luján proposes a pricing framework for multi-asset derivatives based on the family of normal mean-variance mixture copulas. This class of copulas offers sufficient flexibility to capture a ...

We propose a methodology for assessing model risk and apply it to the implied volatility function (IVF) model. This is a popular model among traders for valuing exotic options. Our research is ...

The limitations of conventional crypto investing strategies are typically revealed during times of market volatility. Fast ...

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) ...

After experiencing significant volatility, the cryptocurrency market has seen a strong rebound, with Bitcoin prices climbing back above the $70,000 ...

Annualized volatility is calculated as standard deviation times square root of periods. High annualized volatility indicates greater price variability and potential risk. Investors use annualized ...