Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
A single parameter, termed the mixing fraction, is used to calibrate current localstochastic volatility (LSV) models to traded exotic prices as well as vanilla options. This single parameter has been ...
A 15-Factor Heath, Jarrow, And Morton Stochastic Volatility Model For The United Kingdom Government Bond Yield Curve, Using Daily Data From January 2, 1979 Through November 30, 2021 Jan. 06, 2022 2:10 ...
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 ...
Stochastic volatility models have been a major focus of quantitative research for more than two decades. Those days may be over. In August, Artur Sepp and Parviz Rakhmonov published a paper in ...
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