Today? s traders want to know when volatility is a sign that the sky is falling (and they should
stay out of the market), and when it is a sign of a possible trading opportunity. Inside …

In this paper we present a stochastic volatility model assuming that the return shock has a
Skew-GED distribution. This allows a parsimonious yet flexible treatment of asymmetry and …

It is widely accepted today that an assumption of a constant standard-deviation for the stock-
return is not realistic. Indeed the traditional Samuelson-Black-Scholes framework of a …

In this paper, we analyse spot prices and futures quotations to get inference in the crude oil
market. Data are referred to West Texas Intermediate (WTI) index which tracks the crude oil …

This study provides empirical evidence on asymmetry in financial returns using a simple
stochastic volatility model which allows a parsimonious yet flexible treatment of both …

A Bayesian approach to option pricing is presented in which posterior inference about the
underlying returns process is conducted implicitly via observed option prices. A range of …

A new, more accurate take on the classical approach to volatility evaluation Inside Volatility
Filtering presents a new approach to volatility estimation, using financial econometrics …

This paper develops a new class of option price models and applies it to options on the
Australian S&P200 Index. The class of models generalizes the traditional Black‐Scholes …

In this thesis, we present the new concept of implied integrated volatility. When the stock
price volatility is stochastic, the integrated volatility is the time-average of the stock price …

We describe a finite inhomogeneous three-dimensional system of classical particles that
interact through short-and/or long-range interactions by means of a simple analytical spin …