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Quantitative Musings

An Economist's Guide to the Term Structure of Volatility

How macro events are baked into the volatility surface

7 min read · March 13, 2023

2023 · options volatility econometrics · pricing
Black-Scholes, Measured Carefully

Going beyond the risk neutral probability distribution

6 min read · March 1, 2023

2023 · stochastic-calculus probability · pricing