Questions tagged [uncertain-volatility]

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0answers
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Realized Volatility of Volatility versus VVIX Index

Hello people of the internet I am doing a little experiment where I want to examine how well the VIX predicts the realized volatility, and how well the VVIX (Volatility of VIX Index) predicts the ...
1
vote
1answer
200 views

Local volatility and Stochastic Volatility

Please help me understand similarity and differences between local volatility and Stochastic Volatility both intuitively and mathematically.
4
votes
3answers
420 views

Difference between risk and uncertainty

I'm reading the paper "Risk Measures in Quantitative Finance" by Mitra and Ji (2010). On page 2 it reads: We note that some Academics distinguish between risk and uncertainty as first defined by ...
5
votes
3answers
509 views

Uncertain volatility

Recently, I have encountered something called "uncertain volatility". Is it a popular concept in QF? Do practitioners use it nowadays? What are its pros and cons compared to e.g more familiar ...