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The statistical measure of dispersion of asset returns over a given period.
The statistical measure of dispersion of asset returns over a given period.
Volatility represents return variation magnitude. Expressed as an annualized standard deviation of log returns, it indicates price uncertainty.
Key parameter in option pricing and asset allocation models.
Exhibits volatility clustering (high volatility periods cluster together).
Categorized into Historical (Realised) Volatility and Implied Volatility.
Options and derivatives are financial contracts whose value derives from an underlying asset. The theory of derivative pricing, beginning with the Black-Scholes-Merton model in 1973, is the central intellectual achievement of modern quantitative finance. The practice of derivative pricing and hedging is the largest single source of employment for quants on the sell-side.
Quantitative risk management is the measurement, monitoring, and control of financial risk across a firm. It spans market risk (the risk of losses from price movements), credit risk (the risk of a counterparty defaulting), operational risk (the risk of failures of internal processes, people, and systems), and regulatory risk (the risk of failing to comply with capital and reporting requirements).