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Optimal time series length to calculate historical volatility

volatility interest-rates time-series

asked yesterday Bhaskar Gudimetla 24

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Is the volatility smile independent of the volatility itself?

volatility vix volatility-smile

asked Aug 11 at 19:43 iamcj 1

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Derivation of the Pnl of a Delta Hedged Straddle and Risk Reversal

options volatility greeks vega risk-premium

modified Aug 11 at 12:54 Permian 503

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Calculate Idiosyncratic Risk?

volatility risk fama-french standard-deviation

answered Aug 10 at 6:38 eSurfsnake 198

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Does it make sense to calculate an option price in future (at t+1)?

option-pricing volatility vega stress-testing

asked Aug 8 at 11:18 Maksym Bondarenko 21

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Which program for a DCC-MIDAS model?

volatility correlation estimation covariance-matrix

modified Aug 1 at 2:00 Community♦ 1

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Identifying primary share class of U.S. firms and deleting excess observations

volatility equities data finance statistics

asked Jul 30 at 11:04 S Wijn 4

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Drift of Local Volatility Model - Dupire

volatility local-volatility

modified Jul 29 at 12:33 ilovevolatility 56

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Choosing the Correct Periods for Yang-Zhang Volatility

volatility fx

modified Jul 27 at 4:21 Alex C 5,203

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Portfolio semideviation

volatility portfolio-management asset-allocation

asked Jul 26 at 11:59 abu 40

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Can someone give a simple example of how stochastic volatility leads to volatility skew/smile?

options volatility stochastic-volatility skew

asked Jul 24 at 21:12 Mike Hatch 1

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108

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Comparing historical to implied volatility

options option-pricing volatility implied-volatility

modified Jul 24 at 18:00 Community♦ 1

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Portfolio risk analysis

volatility portfolio-management risk risk-management beta

asked Jul 24 at 12:38 Rufyyyyy 1

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Finding Equity Volatility for the Standard Merton Model

volatility merton-model

answered Jul 23 at 19:33 Bob Jansen♦ 3,089

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Optimal time series length to calculate historical volatility

Is the volatility smile independent of the volatility itself?

Derivation of the Pnl of a Delta Hedged Straddle and Risk Reversal

Calculate Idiosyncratic Risk?

Does it make sense to calculate an option price in future (at t+1)?

Which program for a DCC-MIDAS model?

Identifying primary share class of U.S. firms and deleting excess observations

Drift of Local Volatility Model - Dupire

Choosing the Correct Periods for Yang-Zhang Volatility

Portfolio semideviation

Can someone give a simple example of how stochastic volatility leads to volatility skew/smile?

Comparing historical to implied volatility

Portfolio risk analysis

Finding Equity Volatility for the Standard Merton Model

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