Stochastic volatility is the unpredictable nature of asset price volatility over time. It's a flexible alternative to the Black Scholes' constant volatility assumption.

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 ...

In the complete model with stochastic volatility by Hobson and Rogers, preference independent options prices are solutions to degenerate partial differential equations obtained by including additional ...

Citations: Todorov, Viktor. 2009. Estimation of Continuous-Time Stochastic Volatility Models with Jumps Using High-Frequency Data. Journal of Econometrics. 131-148.

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, ...

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 ...

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 ...