synthetic asset, the foreign equity in domestic currency, is employed to obtain the implied volatility for these options. These … implied volatilities are then used to obtain the local volatility for use in the numerical routine. The model is designed to …

importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset …

financial instruments in the portfolio and on the volatility of those returns.This task is relatively simple if the correlations … and volatilities do not change over time.But in reality both volatility and stock market indexes’ correlations do change …

applications in power industries. This model with stochastic volatility of the forward price is built using the ideas and equations … of stochastic differential geometry in order to close the system of equations for the forward price and its volatility …. Stationary distributions for the forward price volatility are found analytically as well as the forward price curves in the one …

affected by ‘vo- latility contagion’ coming from emerging markets. I find also some partial support for the ‘volatility …

exemplifies how heterogeneity concerning the volatility of two stochastic processes may lead to chaotic motion; the second is a …

This paper examines the determinants of the volatility in growth rates, seeking to expand on a very limited literature … which has focused almost exclusively on financial determinants of volatility. An analysis of 41 variables and their effects … on growth volatility yields some surprising results: the relationship between financial sophistication and volatility is …