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 ...

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, ...

As global markets continue to operate in a state of persistent volatility, traders are increasingly forced to choose between constant engagement and disciplined selectivity. For Brian Ferdinand, the ...

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 ...

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 ...

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...