Volatility is largely endogenous, being rough and path dependent, driven by leverage effects and Zumbach trend effects. Cross‑asset effects are strong: trends in the E‑mini futures strongly influence ...

Some of the most fundamental and long-considered solved problems of financial engineering, such as construction of yield curves and calibration of implied volatility surfaces, have recently turned out ...

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) ...

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 ...

As we begin 2026, we face another set of choices about how to forge a future that enables us to navigate the continuing instability and volatility in our civic and economic lives. We are at a moment ...

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 ...

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 ...