Questions tagged [volatility]

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

1,382 questions
Filter by
Sorted by
Tagged with
250 views

Assessing the value of risk reversal and the fly

This is important for traders. What I'm really asking is how do we ascertain if vanna (or dvegadspot) is being valued correctly by the market? and for the fly, fair fly value will be a combination of ...
• 13
128 views

Volatility Mismatch in SABR Calibration

Problem Statement Hi, I am trying to calibrate SABR on a new asset, which is not 'forward swap rate'. While using the vanillaSABR calibration, I find the parameter 'sigma' (one of model parameters, ...
• 21
1 vote
162 views

Calibration of Heston using implied vol as $v_0$

I am looking at the difference if you calibrated the heston from market data using objective function minimisation. In scenario 1, I calibrate all the parameters from market data In scenario 2, I ...
1 vote
150 views

• 51
152 views

SABR, Stochastic collocation and calendar arbitrage

Ok, this is a bit of a long read, so be warned.. I am currently learning about the so called "Stochastic collocation" technique which seem to have been quite popular during recent years for ...
227 views

Which volatility measure would you use for intraday minute data?

I have a very detailed dataset - for each minute I can see 3 best bid and ask prices with associated quantities. Which measure of volatility would you use in such dataset? Some volatility measures use ...
• 45
1 vote
224 views

Formula 1.2 in book "Volatility Trading" by Euan Sinclair

I am reading "Volatility Trading" by Euan Sinclair. In the derivation of BSM process in Chapter 1, formula 1.2 confused me. It means that the value change of a hedged call position (1 Call \$...
• 11
71 views

...
104 views

Good resources about Volatility Calibration with code Snippet

As I just landed in the quantitative finance world, I would like to dig deeper into Volatility Surfaces construction. I have a good theoritical background ( I'm familiar with volatility models ) but I'...
226 views

Is my time horizon for GARCH(1,1)/ARCH(1)/EGARCH(1,1) reasonable?

I am trying to learn about volatility forecasting using three models: ARCH(1), GARCH(1, 1) and EGARCH(1, 1) using python. I wanted to know if my general procedure is correct, and specifically if my ...
1 vote
79 views

Converting Annual Vol to Instantaneous Vol with Mean Reversion [closed]

Options Pricing and Mean Reversion In the question above, in the accepted answer, the writer claims: "For instance with a 100% mean reversion a 20% historical annual standard deviation would ...
• 67
135 views

Normalise 5hr, 10hr, weekly, monthly returns using 1hr time bar

I have a question on normalisation of returns when working with high frequency bars, such as 10mins, 30mins or 1hr. Suppose I have a time series of 1hr bars. I'd like to compute 5hr, daily, weekly, ...
• 31
49 views

Pricing and Risk Management of Exotic Options with a Volatility Surface [duplicate]

Bit of a newbie question; but I see this pop up from time to time. If we have a volatility surface (e.g. for the S&P500) built from market options what more can we do with it, but price other ...
1 vote
50 views

STOXX50 and VSTOXX joint calibration

I am currently researching the joint calibration problem of SPX and VIX. The idea is that: VIX options are derivatives on the VIX, which itself is derived from SPX options and should thus be able to ...
130 views

A measure of volatility that uses open, close, low and high prices?

For my analysis I need a measure of volatility for government bonds. On Bloomberg I could not find any good measure of volatility - they offer some measures which are based on the close prices of each ...
• 45