This new white paper contains brand-new empirical research into the behavior of volatility over time. This has implications for option pricing models, hedging, risk management, and more. It also leads to a vastly simplified methodology for calculating VaR which requires estimation of just a fraction of the number of variables now used. Although it presents original research, it shares the simplicity and direct formula-free approach that are found in Savvysoft's other highly approachable white papers.. And because the ideas presented here are just now being made available, many of the uses of the results have yet to be discovered, and you, dear reader, will be able to extend the knowledge with your own insights. |
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