Most option pricing models assume all parameters except volatility are fixed; yet they almost invariably change on re-calibration. This paper explains how to capture the model risk that arises when parameters that are assumed constant have calibrated values that change over time and how to use...

This paper contributes to the debate on the effects of the financialization of commodity futures markets by studying the conditional volatility of long-short commodity portfolios and their conditional correlation with traditional assets (stocks and bonds). Using several groups of trading...

Volatility, or the variability of the underlying asset, is one of the key fundamental components of property derivative pricing and in the application of real option models in development analysis. There has been relatively little work on volatility in real terms of its application to property...