Standard realized volatility (RV) measures estimate the latent volatility of an asset price using high frequency data with no reference to how or where the estimate will subsequently be used. This paper presents methods for “tailoring” the estimate of volatility to the application in which...

This lecture is given at the University of Leonard de Vinci, in Paris, France, to students of the School of Engineer program in Finance. It is a general introduction to the understanding of building blocks of the non-gaussian world and the shortcomings of the normal paradigm when pricing and...