Market participants' expectations, as reflected in implied volatility, maybe a more accurate reflection of future price movements than past price movements. When it comes to short-term moves, ...

Wild swings and big moves aren’t just confined to equities anymore. The MOVE index, which tracks vol in the market for options on Treasury notes and bonds, just spiked above 137. That puts it at the ...

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

Volatility can be a double-edged sword, providing quick gains if you nail the directional view and timing, but sting quickly if you’re on the wrong side. However, volatility can be harvested using ...

Volatility refers to the extent of price fluctuations for a given asset or market. Historically, volatility has been inversely correlated with the stock market. When stock markets rally, volatility ...

Citations: Todorov, Viktor, George Tauchen, Iaryna Grynkiv. 2011. Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models. Journal of Econometrics. (2)367-381.

One of the most important risk factors when trading financial assets and their derivatives is the actual and historical volatility of the underlying asset that impacts the implied volatility used to ...

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

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