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 ...

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 ...

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, ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

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) ...