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 ...

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 ...

Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...

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) ...

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 ...

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, ...