This is a summary of links featured on Quantocracy on Thursday, 08/11/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
Log-normal Stochastic Volatility Model [Artur Sepp]I am introducing my most recent research on log-normal stochastic volatility model with applications to assets with positive implied volatility skews, such as VIX index, short index ETFs, cryptocurrencies, and some commodities. Together with Parviz Rakhmonov, we have extended my early work on the log-normal volatility model and we have written an extensive paper with an extra focus on modelling