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variance

Markets Old Articles

When Sigma Speaks Loudly, Do Higher Moments Speak Louder? – Part 1

Introduction In this article, together with a brief introduction to the use of option-implied information in forecasting, we would like to give an answer to the question: does Option-Implied Skewness and Kurtosis improve the predictive power of (Squared) Implied Volatilities on Future Realised Variance? In order to do so, we Read more…

By BSIC, 5 years16 February 2020 ago
Markets Old Articles Quantitative Finance

Trading Volatility Using Options: a French Case

Introduction Volatility is a key feature of financial markets. It is commonly used as a measure for risk and is a common an indicator of the investors’ fear and concern about the future. While higher volatility means bigger profits and losses in a directional strategy (one which bets on a Read more…

By BSIC, 8 years2 April 2017 ago

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