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 ...

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

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 ...

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 ...

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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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 ...