Stochastic volatility represents an essential framework for understanding the dynamic uncertainty inherent in financial markets. This approach extends traditional models by recognising that volatility ...

Alternative multivariate stochastic volatility (MSV) models with leverage have been proposed in the literature. However, the existing MSV with leverage models are unclear about the definition of ...

The ability to compute exotic greeks is important in explaining profit and loss statements, but what is the best way to calculate them effectively? In a virtual talk for the Bloomberg Quant (BBQ) ...