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 ...

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, ...

This is a preview. Log in through your library . Abstract We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We ...

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 ...

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) ...