While overall levels of implied volatility remain muted across asset classes, what stands out is the even lower levels of ...

Stochastic volatility model combining Heston vol model and CIR++ Fitting the implied volatility surface is generally a complicated affair. Here, Claudio Pacati, Roberto Renò and Manola Santilli ...

In investing, volatility refers to the short-term fluctuations in share prices, while risk is the potential for a permanent loss of capital. If you’re a sailor on a ship, the waves (volatility ...

The volatility surface For interest rate swaptions, implied volatility is the variation expected in swap rates. Gamma refers to the one-month to one-year (1m-1y) expiry part of the volatility surface.

A drop off in European volumes executed on systematic internalisers (SI) during volatility last year signals a changing approach to risk by traders, a big xyt survey has found. According to big xyt’s ...