volatility-modeling

Humanities and Social Sciences Communications, Published online: 01 September 2026; doi:10.1057/s41599-026-08708-5 Asymmetric volatility spillovers and dynamic connectedness under uncertainty: evidence from BRICS exchange rates, the US Dollar, the Japanese Yen, and oil markets

Reading Gatheral's The volatility surface , page 7. The model they are talking about is $$\begin{align}dS_t&=\mu_tS_tdt+\sqrt{\nu_t}S_tdZ_1\\d\nu_t&=\alpha(S_t,\nu_t,t)dt+\eta\beta(S_t,\nu_t,t)\sqrt{v_t}dZ_2\\\left[Z_1,Z_2\right]&=\rho dt\end{align}$$ where $S_t$ is a stock price, and $\nu_t$ stochastic volatility. There is an option on $S$ with price $V(S_t,\nu,t)$, and another asset $V_1$ depen…

How should i quote a product with required bid-ask spread. How to handle adverse fills instead of cutting losses. What are the models i have to study to start understanding the market making of volatile products.

Implied vs Realized Volatility: Reading the Gap By Shakti Tiwari · Educational only · Not investment advice This article explains implied vs realized volatility: reading the gap from first principles. No live market numbers are quoted; the structure is what lasts. Why this matters Implied vs Realized Volatility: Reading the Gap is one of those subjects that sounds simple until you implement it, a…

Volatility Surface Basics: Term Structure Explained By Shakti Tiwari · Educational only · Not investment advice This article explains volatility surface basics: term structure explained from first principles. No live market numbers are quoted; the structure is what lasts. Why this matters Volatility Surface Basics: Term Structure Explained is one of those subjects that sounds simple until you imp…

How chartered accountant Manikandan K traded discretionary decisions for systematic research, discovered volatility modelling through EPAT, and now chases alpha as an independent quant.

A comprehensive quantitative analysis of Alibaba's severe multi-sigma equity drawdown as of June 2026. Explores statistical return modeling, geopolitical risk premiums, market microstructure dynamics, fundamental factor deterioration, and the mathematical frameworks underlying the catastrophic repricing event. 📊 Deep Research Topics: quantitative finance, investment analysis, financial educatio…

Around 2014 , I proposed a few Bachelier implied volatility “solvers”. The first one was inspired by Steven G. Johnson’s Faddeeva package for the complex error function: it used a piecewise Chebyshev polynomial representation to have a near machine accurate representation of the Bachelier implied volatility. Why did I put “solver” in quotes? Because the problem can be reduced to a 1D function rep…