Volatility forecasting is a key component of modern finance, used in asset allocation, risk management, and options pricing. Investors and traders rely on precise volatility models to optimize ...

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating ...

The financial crisis and the meltdown in Europe have exposed the deficiencies of traditional asset- pricing models, particularly their inability to account for the effect of contagion from one market ...

We suggest a new method for integrating volatility information for estimating the value-at-risk and conditional value-at-risk of a portfolio. This new method is developed from the perspective of ...

It was surely only a matter of time before someone applied the principles of Einstein’s general theory of relativity to options trading. Lyudmil Zyapkov, a senior quantitative analyst at Bank of ...