Volatility

Articles

Volatility: Time and Black–Scholes–Merton

23 April 2017 Editor Comments Off on Volatility: Time and Black–Scholes–Merton
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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The Heston-Hull-White Model Part I: Finance And Analytics: Wilmott Magazine Article – Holger Kammeyer and Jorge Kienitz

8 August 2016 Editor Comments Off on The Heston-Hull-White Model Part I: Finance And Analytics: Wilmott Magazine Article – Holger Kammeyer and Jorge Kienitz
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Stochastic Interest Rates for Local Volatility Hybrid Models: Wilmott Magazine Article – E. Benhamou, A. Gruz and A. Rivoira

9 February 2016 Editor Comments Off on Stochastic Interest Rates for Local Volatility Hybrid Models: Wilmott Magazine Article – E. Benhamou, A. Gruz and A. Rivoira
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Direct Parameterization of Transition Densities and Pricing of Forward Start Options: Wilmott Magazine Article – Bert-Jan Nauta, Alex Zilber and Berber de Backer

7 September 2015 Editor Comments Off on Direct Parameterization of Transition Densities and Pricing of Forward Start Options: Wilmott Magazine Article – Bert-Jan Nauta, Alex Zilber and Berber de Backer
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Stochastic Volatility Inference with Monte Carlo Filters: Wilmott Magazine Article – Nikolay Y. Nikolaev & Evgueni Smirnov

10 October 2013 Editor Comments Off on Stochastic Volatility Inference with Monte Carlo Filters: Wilmott Magazine Article – Nikolay Y. Nikolaev & Evgueni Smirnov
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