Options traders know about, but often don’t know what to do about, the volatility skew/smirk/smile. In The Volatility Smile (the word “practitioners have persisted in using … to describe the ...

For years, art historians and scientists have tried to unlock the mysteries of the Mona Lisa’s smile, which flickers and fades when viewed from different angles. Quants are similarly beguiled by the ...

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 ...

The volatility smile is a visual representation of the implied volatilities of options contracts that expire on the same date. The appearance of a volatility smile indicates that options traders are ...

Stochastic volatility is the unpredictable nature of asset price volatility over time. It's a flexible alternative to the Black Scholes' constant volatility assumption.

Stochastic volatility models have revolutionised the field of option pricing by allowing the volatility of an asset to vary randomly over time rather than remain constant. These models have ...

Despite centuries of academic study, nobody knows for sure what makes the price of financial assets move. The best we can do is make a model of how they behave. This was the argument of Louis ...

One of the oldest questions in finance is how to price options – those financial instruments which give you the right, but not the obligation, to purchase an asset in the future at a set price. For ...