A measure of the variation in price over time. Also a measure of the risk of a financial instrument.

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63 views

commodity futures pricing vs. underlying spot rates in volatile markets, at depth of book

Are futures contracts or their underlying spot rates, more or less efficient, at depth of market, with volatility? Say for example we have: 1 E7 (CME contract) = 62,500 euro Should the future or ...
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34 views

Common point between IR and Vol option pricing models?

What is the common point between pricing models on options on Interest Rates and options on Volatility?
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252 views

Controling ex-post volatility by ex-ante limits

In the context of mutual funds the KID directive forces us to calculate 5 year ex-post volatility of a (market) fund (weekly returns). Thus each week we look back in the past and calculate volatility ...
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86 views

Stochastic Volatility for Stocks, FTSE

Can someone help me with calculating Stochastic Volatility (of stocks and options) using SAS or R or Matlab please? I am new to SAS and I am trying to use Heston model, White-Hull model or any other ...
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142 views

How to calculate modeled asset volatility by industry factor?

Currently I am working with huge data frame which consists of a lot firms. For each firm in my sample I calculated asset volatility ( I am using Merton default probability model, so I have used 2 ...
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27 views

explanation for preference of volatilities in option premium quotes [duplicate]

could any one suggest an explanation for why premium in option markets (currency or otherwise) are quoted as volatilities rather than (premium/abs(spot price - settlement price)) or some other ...
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51 views

Is the price of a binary call not monotonous with vol for OTM

Is this true and how would you prove it
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29 views

Convert volatility of log returns into volatility of asset (bollinger bands)

I am using a model to estimate the volatility of the log-returns of an asset (standard stochastic volatility model for info) The main question is: How can I find back the windowed volatility of this ...