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 ...

Stochastic volatility represents an essential framework for understanding the dynamic uncertainty inherent in financial markets. This approach extends traditional models by recognising that volatility ...

Spot prices in energy markets exhibit special features, such as price spikes, mean reversion, stochastic volatility, inverse leverage effect, and dependencies between the commodities. In this paper a ...

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 ...

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, ...

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) ...