Articles

Close Encounters Of The Third Order

17th July 2019 admin 0

The 1977 science fiction movie Close Encounters of the Third Kind was written and directed by Steven Spielberg. The title is derived from the classification by Hynek for close encounters with aliens, in which the […]

Articles

Volatility Voodoo

3rd July 2019 Editor 0

How do I love thee? Let me count the ways. I love thee to the depth and breadth and height My soul can reach, when feeling out of sight. . . I love thee with […]

Articles

Rootless Vol

24th December 2018 Editor 0

Even if you started out clueless about the volatility σ , given a good enough measuring stick and fast enough hands you ought to be able to measure it quickly and accurately. In practice you […]

Articles

What is Implied by Implied Volatility?

14th May 2018 Editor 0

Word and concept Implied volatility is not just a word or a concept. As a word, what is implied by implied volatility – what “implied volatility” means – is the value of the Brownian diffusion […]

Articles

Introduction to Variance Swaps

16th April 2018 Editor 0

The purpose of this article is to introduce the properties of variance swaps, and give insights into the hedging and valuation of these instruments from the particular lens of an option trader. Section 1 gives […]

Articles

Volatility: Time and Black–Scholes–Merton

23rd April 2017 Editor 0

The formalism of Black–Scholes–Merton knows of no such thing as the past or the future. When it models the stochastic process of the underlying asset price as Brownian motion and symbolizes its volatility by σ, […]

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