Book of Donmon Teith

A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communication

Future volatility is a key input for pricing and hedging derivatives and for quantitative investment strategies in general. There are many different approaches.

"This paper proposes the EGARCH [Exponential Generalized Autoregressive Conditional Heteroskedasticity] model with jumps and heavy-tailed errors, and studies th

Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial m