We introduce the beta stochastic volatility model and discuss empirical features of this model and its calibration … steeper forward skews, compared to traditional stochastic volatility models …

evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new … poorly when trying to forecast short-term volatility, and that a more dynamic model often provides superior out …

middle-term asset volatility is used for determination of the size of opening position when buy signal is obtained from trend … following model. The strategy is named as timing-and-volatility strategy.Two ways of implementation of the timing-and-volatility … strategy are proposed: without use of leverage and with use of leverage. Testing of the non-leveraged timing-and-volatility …

We provide a practical and technical overview of volatility trading strategies:1) The insight for the design and back …-testing of systematic volatility strategies2) Understanding of risk-reward trade-off and potential pitfalls of volatility … strategy:1) Delta-hedged strategies for capturing the volatility and skew risk-premiums2) Without delta-hedge: CBOE and …

markets? The answer to this question is understanding volatility dynamics …