Volatility of volatility of financial markets

DOI10.1016/S0895-7177(99)00048-5zbMath0992.91039OpenAlexW3123702056MaRDI QIDQ1596909

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

optionsstatistical mechanicsvolatilityeurodollar

Mathematics Subject Classification ID

Related Items (1)

Statistical mechanics of financial markets: exponential modifications to Black-Scholes.

Uses Software

• ASA

Cites Work

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• Application of statistical mechanics methodology to term-structure bond- pricing models
• Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading
• Statistical mechanics of nonlinear nonequilibrium financial markets
• The Mathematics of Financial Derivatives

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