Somer G. Anderson is CPA, doctor of accounting, and an accounting and finance professor who has been working in the accounting and finance industries for more than 20 years. Her expertise covers a ...

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 ...

This paper is devoted to the price–storage dynamics in natural gas markets. A novel stochastic path-dependent volatility model is introduced with path dependence in both price volatility and storage ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...

Artur Sepp and Parviz Rakhmonov introduce the lognormal stochastic volatility model for the dynamics of interest rates in the single-factor Cheyette model. They show that, unlike models that mix local ...

We extend the existing small-time asymptotics for implied volatilities under the Heston stochastic volatility model to the multifactor volatility Heston model, which is also known as the Wishart ...

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 ...