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The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and Martini in 2019. A robust calibration of such surfaces has already been proposed by the quantitative research team at Zeliade in 2019, but it is sequential in expiries and lacks of...
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The study proposes an assessment of the link between the performance of national health systems and volatility during … volatility, a representative stock market index was considered for each of the 60 states analysed. Data processing was carried … volatility and the performance of national health systems was weak; ii) during the pandemic, the connection between the two …
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Energy market volatility affects macroeconomic conditions and can unduly affect the economies of energy …-producing countries. Large price swings can be detrimental to both producers and consumers. Market volatility can cause infrastructure and … benefit of consumers and producers alike. Therefore, modeling and forecasting crude oil price volatility is critical in many …
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