Learn about the volatility smile, a key concept in options trading that perplexes many investors, and how it impacts options ...

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 ...

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 ...

Bitcoin volatility is pushing investors toward diversified crypto allocation models to manage risk, stabilize returns, and improve long-term portfolio performance.

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, ...

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) ...

With investments, volatility refers to changes in an asset's or market's price — especially as measured against its usual behavior or a benchmark. Volatility is often expressed as a percentage: If a ...

One of the most important risk factors when trading financial assets and their derivatives is the actual and historical volatility of the underlying asset that impacts the implied volatility used to ...