In a rapidly evolving digital landscape, Gurunath Dasari a seasoned financial technology researcher—explores the complexities ...

The global bond crisis and U.S. debt boost Bitcoin's appeal; sentiment and seasonality favor gains until mid-June. Click here ...

Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of ...

I like words. They’re kind of my thing. But I am man enough to admit that prior to a few years ago I had no idea that the word "stochastic," as in "stochastic terrorism," even existed ...

This paper examines the application of various stochastic volatility models to real data and demonstrates their effectiveness in calibrating a wide range of options, including those with short-term ...

We carry out a comparative performance analysis of different stochastic volatility (SV), stochastic correlation (SC), and stochastic exchange rate (SER) models to determine the best combination of ...

https://doi.org/10.1086/377033 • https://www.jstor.org/stable/10.1086/377033 These bias estimates are based on the construction of 100 portfolios of the type used ...

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 ...

This paper seeks to address these challenges by advancing fractional stochastic volatility (FSV) modeling and applying it to empirical analysis within the context of market microstructure. The novelty ...

Later a Partner at Goldman Sachs." Columbia University. "Local Volatility, Stochastic Volatility and Jump-Diffusion Models," Pages 1-3.