We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to … is the central topic of this study. We propose a detailed survey of recent volatility models, accounting for multiple … stochastic volatility model families and often borrow methodological tools from statistical physics. We compare their properties …

Using high frequency data, we have studied empirically the change of volatility, also called volatility derivative, for … various time horizons. In particular, the correlation between the volatility derivative and the volatility realized in the … heterogeneous structure of the market according to the characteristic time horizons of the different agents. It reveals a volatility …