Stochastic volatility models have revolutionised the field of option pricing by allowing the volatility of an asset to vary randomly over time rather than remain constant. These models have ...

Pietro Rossi had a problem. An insurance company needed a model that could price bonds based on the likelihood of changes in credit ratings. The standard, off-the-shelf models are based on probability ...

Whether the financial markets are turbulent or calm, the subject of volatility has been of great interest to quants for decades. Some of the pioneering research was published in the mid-1990s, ...

The ability to compute exotic greeks is important in explaining profit and loss statements, but what is the best way to calculate them effectively? In a virtual talk for the Bloomberg Quant (BBQ) ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...