Volatility, usually denoted by σ, is a measure of the amount of fluctuation in asset prices and so it is often understood or perceived as a measure of riskiness of the asset or uncertainty about its future value. Since there are various ways one can quantify this risk, a comprehensive and precise study of this quantity is needed. For this reason there are various definitions of volatility, based on the framework and on the purpose of the model.
Volatility, usually denoted by σ, is a measure of the amount of fluctuation in asset prices and so it is often understood or perceived as a measure of riskiness of the asset or uncertainty about its future value. Since there are various ways one can quantify this risk, a comprehensive and precise study of this quantity is needed. For this reason there are various definitions of volatility, based on the framework and on the purpose of the model.
Financial Modeling under Rough and Fractional Stochastic Volatility
DAPPORTO, ANTONIO
2022/2023
Abstract
Volatility, usually denoted by σ, is a measure of the amount of fluctuation in asset prices and so it is often understood or perceived as a measure of riskiness of the asset or uncertainty about its future value. Since there are various ways one can quantify this risk, a comprehensive and precise study of this quantity is needed. For this reason there are various definitions of volatility, based on the framework and on the purpose of the model.File | Dimensione | Formato | |
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Dapporto_Antonio.pdf
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https://hdl.handle.net/20.500.12608/46180