Volatility of volatility of financial markets

DOI10.1016/S0895-7177(99)00048-5MaRDI QIDQ1596909zbMATHOpenAlexFDO

Authors Lester Ingber, John K. Wilson

Publication date 5 May 2002

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0895-7177(99)00048-5

zbMATH Keywords

optionsvolatilitystatistical mechanicseurodollar

Mathematics Subject Classification ID

Equilibrium statistical mechanics (82B99)

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Cites work

• scientific article; zbMATH DE number 3796268 (Why is no real title available?)
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• Application of statistical mechanics methodology to term-structure bond- pricing models
• Statistical mechanics of nonlinear nonequilibrium financial markets
• Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading
• The Mathematics of Financial Derivatives

Cited in

(13)

• Volatility occupation times
• An Overview of the Determinants of Financial Volatility: An Explanation of Measuring Techniques
• scientific article; zbMATH DE number 1642354 (Why is no real title available?)
• Excess volatility and stochastic approach of interest rates in stock market
• Statistical mechanics of financial markets: exponential modifications to Black-Scholes.
• Is volatility lognormal? Evidence from Italian futures
• scientific article; zbMATH DE number 5198651 (Why is no real title available?)
• Volatility models of currency futures in developed and emerging markets.
• Financial markets with volatility uncertainty
• Volatility in financial markets: Stochastic models and empirical results
• Stochastic Volatility: Origins and Overview
• Models of stochastic and chaotic volatility for news analysis
• Time-to-Expiry Seasonalities in Eurofutures

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• ASA

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