The volatility of an underlying price/ rate (in a derivative) that is predicted today as associated with a future date....
Spot volatility (volatility that is measured spot); the magnitude of the instantaneous fluctuation of a dynamic process, e.g., the log...
The magnitude of the instantaneous fluctuation of a dynamic process, e.g., the log of an underlying asset price/ underlying rate...
The volatility of volatility. A measure of volatility which supposes that volatility is a random market risk variable, rather than...
The variation in volatility that arises when the standard deviation of a rate/ price has, itself, a standard deviation. Heteroskedasticity...
A volatility strategy (volatility trade) which combines futures and options and is constructed by buying a call option (long call)...
A vanilla Greek is a first-order derivative of the option value with respect to some variable such as underlying’s price, volatility, interest...
A delta greek (belonging to the category of exotic greeks on delta) that represents the second-order partial derivative of delta...
A delta greek (belonging to the category of exotic greeks on delta) that represents the second-order partial derivative of delta...
The spread that would be realized over the whole risk-free spot rate curve if a given risky security such as...