A quiet revolution in volatility modelling has been unfolding across Risk.net’s Cutting Edge section over the past three years. Nearly a third of the papers published over the past 12 months covered ...

Testing several approaches for implied volatility modeling and forecasting. Design/methodology/approach – Comparative ...

We extend the existing small-time asymptotics for implied volatilities under the Heston stochastic volatility model to the multifactor volatility Heston model, which is also known as the Wishart ...

This paper introduces the class of volatility modulated Lévy-driven Volterra (𝓥𝓜𝓛𝓥) processes and their important subclass of Lévy semistationary (𝓛𝒮𝒮) processes as a new framework for ...