We analyze the relationship between implied volatility and subsequent equity markets excess returns. We find that high … readings of implied volatility have a strong correlation with positive and economically sizable returns in the subsequent 1, 5 … volatility instead of the implied volatility of at-the-money straddles …

This paper models price volatility through description of the second-degree transactions and expectations averaged by … time interval Δ. We call it - the second-order economic theory. First two price statistical moments define volatility. To … model volatility one needs description of the squares of trades aggregated during interval Δ. To describe price probability …

Following recent advances in the non-parametric realized volatility approach, we separately measure the discontinuous … volatility models. We analyze the distributional properties of the jump measures vis-à-vis the corresponding realized volatility … accuracy of high-frequency volatility models …

We use frequency-domain techniques, namely wavelets and cross-spectra, to examine the association between the daily …

of stochastic volatility (Heston model) has been introduced in our publications “Complete Analytical Solution of the … model for Stochastic Volatility (SV). Our discovery of the probability density function of the European style Asian Options … constant volatility.All numerical evaluations based on our analytical results are practically instantaneous and absolutely …

than 30% of SP500 securities can have percentage change in volatility of more than 10% as a result of noise filtering …, variances (diagonal elements of the covariance matrix - squares of volatility) contain noise as well. Our noise …

, from asset allocation to LIBOR Surveillance and cyber security.“FILTERING NOISE FROM VOLATILITY.” White Paper 5, dated …; and a demonstration that more than 30% of SP500 securities can have percentage change in volatility of more than 10% as a …

A time-changing volatility binomial tree to price European options is presented followed by an algorithm explaining how …