Utilizing Topographic Finance to Understand Volatility Meetup

Quant Finance
Quant Finance
Public group

Location visible to members

Details

Utilizing Topographic Finance to Understand Volatility Meetup

By Dr Paul Cottrell
7-8pm.

April 27

Volatility Surfacing

Visual representation methods are a common problem in econometrics and finance in order to describe system dynamics. In this paper we address this problem by using the bi-harmonic oscillation process and the Brownian motion components, to generate a three-dimensional volatility surface.

The empirical analysis have been carried out on the S&P500 Index, the 10-year US Treasury Rates, and the West Texas Intermediate oil price, by using 85 daily closing observations, at the purpose to show how visualization of volatility can help understand longitudinal movements of price within different asset classes.

A research paper was just posted