In finance, a volatility swap is a forward contract on the future realised volatility of a given underlying asset. Volatility swaps allow investors to...

Chicago Board Options Exchange's CBOE Volatility Index, a popular measure of the stock market's expectation of volatility based on S&P 500 index options. It...

corresponding vega notional for a volatility swap. This makes the payoff of a variance swap comparable to that of a volatility swap, another less popular instrument...

currency trading. Volatility risk can be managed by hedging with appropriate financial instruments. These are volatility swaps, variance swaps, conditional...

model SABR volatility model Local volatility Implied binomial tree Implied trinomial tree Edgeworth binomial tree Johnson binomial tree Swaps Swap valuation...

future realized (or historical) volatility against current implied volatility. A constant maturity swap (CMS) is a swap that allows the purchaser to fix...

conditional variance swap is a type of variance swap or swap derivative product that allows investors to take exposure to volatility in the price of an...

mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands...

refers to the volatility swap, which is in another word the forward contract on future realized volatility. The long position of the volatility option, like...

correlation to financial market activity and volatility. Used as an indicator of economic activity, higher swap spreads are indicative of greater risk aversion...

A credit default swap (CDS) is a financial swap agreement that the seller of the CDS will compensate the buyer in the event of a debt default (by the debtor)...

A local volatility model, in mathematical finance and financial engineering, is an option pricing model that treats volatility as a function of both the...

n caplet Black volatilities, you need to track just one: the flat volatility. Another important relationship is that if the fixed swap rate is equal to...

as swap space under tight memory conditions. On the attractive side, flash memory is practically delayless compared to hard disks, and not volatile as...

the length of the underlying swap. Adjustments may then be made for moneyness; see Volatility smile § Implied volatility surface. To use the lattice based...

maturity swap (CMS) is a swap that allows the purchaser to fix the duration of received flows on a swap. The floating leg of an interest rate swap typically...

Implied volatility, Volatility smile Local volatility Stochastic volatility Constant elasticity of variance model Heston model Stochastic volatility jump...

the evolution of the volatility of an underlying asset. It is a stochastic volatility model: such a model assumes that the volatility of the asset is not...

Fixed-income volatility arbitrage is a strategy designed to profit from pricing differences in a fixed income security's forecasted future price-volatility and...

attempt to hedge, both to protect value and to reduce volatility. Since the cash flows of component swaps offset each other, traders will implement this hedging...

currency to reduce interest rate volatility exposures, FX Options to reduce FX volatility exposures and Basis swaps to reduce basis risk. Correlation...

widening or narrowing of the spread. The volatility of the spread is typically much lower than the volatility of the individual legs, since a change in...

security – a so-called volatility smile; and with a time dimension, a volatility surface. The main approach here is to treat volatility as stochastic, with...

Girsanov theorem leading to a drift term which depends on its volatility, the FX rate volatility (FX rate between the pricing currency and the modeled variable...

In computer science, compare-and-swap (CAS) is an atomic instruction used in multithreading to achieve synchronization. It compares the contents of a memory...

appears in financial news as a kind of “relief pitcher” during market volatility. It is looking to buy a portfolio of blue-chip stocks from emerging markets...

diversification, which implies that the volatility of a portfolio of securities is less than (or equal to) the average volatility of all the securities in that...

more volatility than stable blue chip shares whose fluctuation is more benign at 2–3%. Volatility affects calls and puts alike. Higher volatility increases...

Singapore Dollar Swap Offer Rate (SOR) is an implied interest rate, determined by examining the spot and forward foreign exchange rate between the US dollar...

varies considerably among the programming languages that have the volatile keyword. Volatility can have implications regarding function calling conventions...