smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2001SMQ / 217420049737315
The leverage effect in financial markets: retarded volatility and market panic
Andrew Matacz / Jean‐Philippe Bouchaud / Marc Potters
stochastic processesResource overview

The leverage effect in financial markets: retarded volatility and market panic

Paper2001

by Andrew Matacz, Jean‐Philippe Bouchaud, Marc Potters

Tags
stochastic processes

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for volatility models and surfaces and stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. Conditional Expectation

    Understand what it means to condition on current information.

Go further

  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Advanced Derivatives and Exotic Options Explore Derivatives Pricing and Computational Finance

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Andrew Matacz, Jean‐Philippe Bouchaud, Marc Potters

6