Quantcast – a Risk.net Cutting Edge podcast cover image

Julien Guyon – 01/08/23

Quantcast – a Risk.net Cutting Edge podcast

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The Simple Path Dependent Volatility Model

Historical volatility is just basically the past return squared. It's just how volatile the market was in the recent past. And so you end up with a simple path dependent volatility model. This model actually has a very natural continuous time version that we can make mark off. So it's very easy to, and fast to simulate and handle.

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