https://artursepp.com/2022/08/10/log-normal-stochastic-volatility-model-for-assets-with-positive-return-volatility-correlation/
Log-normal Stochastic Volatility Model for Assets with Positive Return-Volatility Correlation...
I am introducing my most recent research on log-normal stochastic volatility model with applications to assets with positive implied volatility skews, such as...
normal stochastic volatility
https://artursepp.com/2022/12/31/robust-log-normal-stochastic-volatility-for-interest-rate-dynamics-research-paper/
Robust Log-normal Stochastic Volatility for Interest Rate Dynamics – research paper | Artur...
The volatility of interest rates in 2022 has been indeed extreme. In Figure 1, I show the dependence the between the MOVE index (which measures the implied...
normal stochastic volatility