volatility surface – BSIC | Bocconi Students Investment Club

Rough volatility: A Fractional Brownian Motion Approach.

Download PDF Introduction One of the biggest concerns regarding participants in the market is volatility. Through the years there have been different ways to model volatility in the market, starting with Black-Scholes that assumes constant volatility. Multiple major models have been developed at the scope of modelling volatility as a Read more…

By BSIC, 2 weeks1 March 2026 ago

Let it be (volatile)

“Fear tends to manifest itself much more quickly than greed, so volatile markets tend to be on the downside. In up markets, volatility tends to gradually decline.” Philip Roth Introduction As options and other products whose price depends on volatility have become widespread, studying its behaviour is now a key Read more…

By BSIC, 11 years6 December 2014 ago