Stochastic volatility (SV) refers to the fact that the volatility of asset prices varies and is not constant, as is assumed in the Black Scholes options pricing model. Stochastic volatility ...

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

Volatility can be effectively modelled without advanced knowledge of stochastic calculus and high dimensional probability. Classical volatility measurements, based on fixed time segments are ...

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 ...

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The traditional approach to stochastic volatility (SV) modelling begins with the specification of an SV process, typically on the grounds of its analytical tractability (see, for example, Heston, 1993 ...

We use a consumption based asset pricing model to show that the predictability of excess returns on risky assets can arise from only two sources: (1) stochastic volatility of fundamental variables, or ...

Reghai began by asking how we can understand the impact of local stochastic volatility on the PnL. A considerable amount of quant work in the 1980s and ‘90s was focused on volatility and this ...