What this category covers
Models for evolving volatility, diffusion, jumps and the stochastic processes underlying financial prices and rates. Each concept page explains the quantitative meaning, how the idea is used in portfolio or market analysis, the relevant formula or analytical framework, variables, a compact example and the main limitations to keep in view.
Core concepts
Quick entry pointsAll Volatility Models & Stochastic Processes concepts
32 entriesAPARCH Model
APARCH Model is a quantitative model or framework used in volatility models & stochastic processes to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceARCH Model
ARCH Model is a quantitative model or framework used in volatility models & stochastic processes to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceClose-to-Close Volatility
Close-to-Close Volatility is a quantitative-finance concept used within volatility models & stochastic processes. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceCompound Poisson Process
Compound Poisson Process is a stochastic-process concept used to describe how a financial variable evolves through time under uncertainty. Its assumptions about drift, volatility, jumps or mean reversion determine the paths the model can generate and therefore the risks it can represent.
Quantitative FinanceConditional Volatility
Conditional Volatility is a quantitative-finance concept used within volatility models & stochastic processes. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceCox-Ingersoll-Ross Process
Cox-Ingersoll-Ross Process is a stochastic-process concept used to describe how a financial variable evolves through time under uncertainty. Its assumptions about drift, volatility, jumps or mean reversion determine the paths the model can generate and therefore the risks it can represent.
Quantitative FinanceDiffusion Process
Diffusion Process is a stochastic-process concept used to describe how a financial variable evolves through time under uncertainty. Its assumptions about drift, volatility, jumps or mean reversion determine the paths the model can generate and therefore the risks it can represent.
Quantitative FinanceDupire Local Volatility
Dupire Local Volatility is a quantitative-finance concept used within volatility models & stochastic processes. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceEGARCH Model
EGARCH Model is a quantitative model or framework used in volatility models & stochastic processes to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceEWMA Volatility
EWMA Volatility is a quantitative-finance concept used within volatility models & stochastic processes. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceFIGARCH Model
FIGARCH Model is a quantitative model or framework used in volatility models & stochastic processes to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceForward Volatility
Forward Volatility is a quantitative-finance concept used within volatility models & stochastic processes. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceGARCH Model
GARCH Model is a quantitative model or framework used in volatility models & stochastic processes to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceGarman-Klass Volatility
Garman-Klass Volatility is a quantitative-finance concept used within volatility models & stochastic processes. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceGJR-GARCH Model
GJR-GARCH Model is a quantitative model or framework used in volatility models & stochastic processes to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceHARCH Model
HARCH Model is a quantitative model or framework used in volatility models & stochastic processes to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceHawkes Process
Hawkes Process is a stochastic-process concept used to describe how a financial variable evolves through time under uncertainty. Its assumptions about drift, volatility, jumps or mean reversion determine the paths the model can generate and therefore the risks it can represent.
Quantitative FinanceHeston Stochastic Volatility Model
Heston Stochastic Volatility Model is a quantitative model or framework used in volatility models & stochastic processes to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceInstantaneous Volatility
Instantaneous Volatility is a quantitative-finance concept used within volatility models & stochastic processes. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceIto Process
Ito Process is a stochastic-process concept used to describe how a financial variable evolves through time under uncertainty. Its assumptions about drift, volatility, jumps or mean reversion determine the paths the model can generate and therefore the risks it can represent.
Quantitative FinanceJump Diffusion Process
Jump Diffusion Process is a stochastic-process concept used to describe how a financial variable evolves through time under uncertainty. Its assumptions about drift, volatility, jumps or mean reversion determine the paths the model can generate and therefore the risks it can represent.
Quantitative FinanceLevy Process
Levy Process is a stochastic-process concept used to describe how a financial variable evolves through time under uncertainty. Its assumptions about drift, volatility, jumps or mean reversion determine the paths the model can generate and therefore the risks it can represent.
Quantitative FinanceLocal Volatility Model
Local Volatility Model is a quantitative model or framework used in volatility models & stochastic processes to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceLocal-Stochastic Volatility Model
Local-Stochastic Volatility Model is a quantitative model or framework used in volatility models & stochastic processes to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceLong-Run Volatility
Long-Run Volatility is a quantitative-finance concept used within volatility models & stochastic processes. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceMarkov Process
Markov Process is a stochastic-process concept used to describe how a financial variable evolves through time under uncertainty. Its assumptions about drift, volatility, jumps or mean reversion determine the paths the model can generate and therefore the risks it can represent.
Quantitative FinanceMean-Reverting Process
Mean-Reverting Process is a stochastic-process concept used to describe how a financial variable evolves through time under uncertainty. Its assumptions about drift, volatility, jumps or mean reversion determine the paths the model can generate and therefore the risks it can represent.
Quantitative FinanceOrnstein-Uhlenbeck Process
Ornstein-Uhlenbeck Process is a stochastic-process concept used to describe how a financial variable evolves through time under uncertainty. Its assumptions about drift, volatility, jumps or mean reversion determine the paths the model can generate and therefore the risks it can represent.
Quantitative FinanceParkinson Volatility
Parkinson Volatility is a quantitative-finance concept used within volatility models & stochastic processes. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinancePoisson Jump Process
Poisson Jump Process is a stochastic-process concept used to describe how a financial variable evolves through time under uncertainty. Its assumptions about drift, volatility, jumps or mean reversion determine the paths the model can generate and therefore the risks it can represent.
Quantitative FinanceRange-Based Volatility
Range-Based Volatility is a quantitative-finance concept used within volatility models & stochastic processes. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceRisk-Neutral Measure
Risk-Neutral Measure is a quantitative measure used to summarize a specific property of returns, risk, dependence or model performance. Its interpretation depends on the sampling window, benchmark, frequency and assumptions used to construct it.